Millburn Multi Markets Fund LP

11/13/2024 | Press release | Distributed by Public on 11/13/2024 16:00

Quarterly Report for Quarter Ending September 30, 2024 (Form 10-Q)

c910-20240930x10q

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM 10-Q

x

Quarterly Report Pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934

For the Quarterly Period Ended: September 30, 2024

Or

¨

Transition Report Pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934

For the Transition Period from ___________ to ___________

Commission File Number: 000-54028

MILLBURN MULTI-MARKETS FUND L.P.

(Exact name of registrant as specified in its charter)

Delaware

26-4038497

(State or other jurisdiction of

(I.R.S. Employer

incorporation or organization)

Identification No.)

c/o MILLBURN RIDGEFIELD CORPORATION

55 West 46thStreet, 31stFloor

New York, NY 10036

(Address of principal executive offices) (Zip Code)

(212) 332-7300

(Registrant's telephone number, including area code)

Securities registered pursuant to Section 12(b) of the Act:

Title of each class

Trading Symbol(s)

Name of each exchange on which registered

None

None

None

Indicate by check mark whether the registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days.

Yes No 

Indicate by check mark whether the registrant has submitted electronically, every Interactive Data File required to be submitted pursuant to Rule 405 of Regulation S-T (§232.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit such files).

Yes No 

Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, a smaller reporting company, or an emerging growth company. See the definitions of "large accelerated filer", "accelerated filer," "smaller reporting company", and "emerging growth company" in Rule 12b-2 of the Exchange Act.

Large accelerated filer 

Accelerated filer 

Non-accelerated filer 

Smaller reporting company 

Emerging growth company o

If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period for complying with any new or revised financial accounting standards provided pursuant to Section 13(a) of the Exchange Act.o

Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act).

Yes  No 

PART I. FINANANCIAL INFORMATION

ITEM 1. FINANCIAL STATEMENTS

Millburn Multi-Markets Fund L.P.

Financial statements

As of and for the three and nine months ended September 30, 2024 and 2023 (unaudited)

Statements of Financial Condition (a)

1

Statements of Operations (c)

2

Statements of Changes in Partners' Capital (b)

4

Statements of Financial Highlights (c)

6

Notes to Financial Statements

10

(a) At September 30, 2024 (unaudited) and December 31, 2023

(b) For the nine months ended September 30, 2024 and 2023 (unaudited)

(c) For the three and nine months ended September 30, 2024 and 2023 (unaudited)

Millburn Multi-Markets Fund L.P.

Statements of Financial Condition

ASSETS

September 30, 2024 (unaudited)

December 31, 2023

Investment in Millburn Multi-Markets

Trading L.P. (the "Master Fund")

$

117,962,014

$

123,929,777

Due from the Master Fund

370,694

153,125

Cash and cash equivalents

2,368

36,455

Total assets

$

118,335,076

$

124,119,357

LIABILITIES AND PARTNERS' CAPITAL

LIABILITIES:

Capital contributions received in advance

$

2,368

$

36,368

Capital withdrawals payable to Limited Partners

370,694

153,125

Other liabilities

-

87

Total liabilities

373,062

189,580

PARTNERS' CAPITAL:

General Partner

3,232,569

3,063,996

Limited partners:

Series A (79,628.6549and 87,158.9000units outstanding)

98,850,091

105,476,328

Series B (4,637.2181and 4,701.2201units outstanding)

7,306,134

7,114,188

Series C (2,457.4669and 2,348.1019units outstanding)

3,950,407

3,625,396

Series D (2,992.5775and 3,218.3931units outstanding)

4,390,079

4,559,744

Series E (227.4630and 92.9304units outstanding)

232,734

90,125

Total limited partners

114,729,445

120,865,781

Total partners' capital

117,962,014

123,929,777

TOTAL

$

118,335,076

$

124,119,357

NET ASSET VALUE PER UNIT OUTSTANDING:

Series A

$

1,241.39

$

1,210.16

Series B

$

1,575.54

$

1,513.26

Series C

$

1,607.51

$

1,543.97

Series D

$

1,466.99

$

1,416.78

Series E*

$

1,023.18

$

969.81

* Series E had a beginning unit value of $1,000.00as of March 1, 2023

See notes to financial statements (Unaudited)


‎

1

Millburn Multi-Markets Fund L.P.

Statements of Operations (unaudited)

For the three months ended

September 30, 2024

September 30, 2023

INVESTMENT INCOME:

Interest income

$

-

$

2,098

Interest income, net (allocated from the Master Fund) (1)

1,571,136

1,575,624

Total interest income

1,571,136

1,577,722

EXPENSES:

Brokerage commissions (allocated from the Master Fund) (1)

126,475

128,002

Management fees (allocated from the Master Fund) (1)

518,556

571,508

Selling commissions and platform fees (allocated from the Master Fund) (1)

518,327

575,998

Administrative and operating expenses (allocated from the Master Fund) (1)

133,794

160,493

Custody fees and other expenses (allocated from the Master Fund) (1)

5,478

5,908

Total expenses

1,302,630

1,441,909

NET INVESTMENT INCOME

268,506

135,813

REALIZED AND UNREALIZED GAINS (LOSSES)

ALLOCATED FROM THE MASTER FUND (1)

Net realized gains (losses) on closed positions:

Futures and forward currency contracts

(9,302,392)

11,208,120

Foreign exchange transaction

44,655

(111,494)

Net change in unrealized:

Futures and forward currency contracts

(2,323,330)

2,557,086

Foreign exchange translation

(45,473)

59,284

Net gains (losses) from U.S. Treasury notes:

Realized

3,156

(32,404)

Net change in unrealized

249,015

121,665

Net realized and unrealized gains (losses)

allocated from the Master Fund

(11,374,369)

13,802,257

NET INCOME (LOSS)

(11,105,863)

13,938,070

LESS PROFIT SHARE ALLOCATION

(836,827)

1,088,761

TO (FROM) THE MASTER FUND

NET INCOME (LOSS) AFTER PROFIT SHARE

$

(10,269,036)

$

12,849,309

NET INCOME (LOSS) PER UNIT OUTSTANDING:

Series A

$

(109.16)

$

123.51

Series B

$

(119.81)

$

155.92

Series C

$

(122.24)

$

159.08

Series D

$

(117.44)

$

145.10

Series E*

$

(86.11)

$

115.38

(1) The Partnership's proportionate share of income and expenses allocated from the MasterFund for the period ended.

* Series E commenced on March 1, 2023

See notes to financial statements (Unaudited) (Continued)

2

Millburn Multi-Markets Fund L.P.

Statements of Operations (unaudited)

For the nine months ended

September 30, 2024

September 30, 2023

INVESTMENT INCOME:

Interest income

$

330

$

2,447

Interest income, net (allocated from the Master Fund) (1)

4,900,874

4,119,137

Total interest income

4,901,204

4,121,584

EXPENSES:

Brokerage commissions (allocated from the Master Fund) (1)

416,040

398,854

Management fees (allocated from the Master Fund) (1)

1,644,770

1,717,295

Selling commissions and platform fees (allocated from the Master Fund) (1)

1,650,851

1,718,913

Administrative and operating expenses (allocated from the Master Fund) (1)

381,605

409,420

Custody fees and other expenses (allocated from the Master Fund) (1)

17,395

17,948

Total expenses

4,110,661

4,262,430

NET INVESTMENT INCOME (LOSS)

790,543

(140,846)

REALIZED AND UNREALIZED GAINS (LOSSES)

ALLOCATED FROM THE MASTER FUND (1)

Net realized gains (losses) on closed positions:

Futures and forward currency contracts

2,059,453

6,048,644

Foreign exchange transaction

(7,799)

(261,499)

Net change in unrealized:

Futures and forward currency contracts

1,197,297

(965,836)

Foreign exchange translation

(99,402)

79,309

Net gains (losses) from U.S. Treasury notes:

Realized

(7,736)

(72,547)

Net change in unrealized

107,101

462,822

Net realized and unrealized gains

allocated from the Master Fund

3,248,914

5,290,893

NET INCOME

4,039,457

5,150,047

LESS PROFIT SHARE ALLOCATION

36,135

1,088,761

TO THE MASTER FUND

NET INCOME AFTER PROFIT SHARE

$

4,003,322

$

4,061,286

NET INCOME PER UNIT OUTSTANDING:

Series A

$

31.23

$

40.97

Series B

$

62.28

$

69.93

Series C

$

63.54

$

71.35

Series D

$

50.21

$

58.61

Series E*

$

53.37

$

87.76

(1)The Partnership's proportionate share of income and expenses allocated from the Master Fund for the period ended.

* Series E commenced on March 1, 2023

See notes to financial statements (Unaudited) (Concluded)

3

Millburn Multi-Markets Fund L.P.

Statements of Changes in Partners' Capital (unaudited)

For the nine months ended September 30, 2024

Limited Partners

General

Partner

Series A

Series B

Series C

Series D

Series E

Total

Amount

Amount

Units

Amount

Units

Amount

Units

Amount

Units

Amount

Units

Amount

PARTNERS' CAPITAL - January 1, 2024

$

3,063,996

$

105,476,328

87,158.9000

$

7,114,188

4,701.2201

$

3,625,396

2,348.1019

$

4,559,744

3,218.3931

$

90,125

92.9304

$

123,929,777

Capital contributions

-

-

-

-

-

200,000

118.6900

50,000

34.4922

142,661

138.8621

392,661

Capital withdrawals

-

(9,838,833)

(7,530.2451)

(103,315)

(64.0020)

(16,130)

-

(9.3250)

(400,680)

(260.3078)

(4,788)

(4.3295)

(10,363,746)

Net income before profit share

168,573

3,247,160

-

295,354

-

141,336

-

182,298

-

4,736

-

4,039,457

Profit share

-

(34,564)

-

(93)

-

(195)

-

(1,283)

-

-

-

(36,135)

PARTNERS' CAPITAL -

September 30, 2024

$

3,232,569

$

98,850,091

79,628.6549

$

7,306,134

4,637.2181

$

3,950,407

2,457.4669

$

4,390,079

2,992.5775

$

232,734

227.4630

$

117,962,014

Net Asset Value per Unit at

September 30, 2024

$

1,241.39

$

1,575.54

$

1,607.51

$

1,466.99

$

1,023.18

See notes to financial statements (Unaudited)

(Continued)


‎

4

Millburn Multi-Markets Fund L.P.

Statements of Changes in Partners' Capital (unaudited)

For the nine months ended September 30, 2023

Limited Partners

General

Partner

Series A

Series B

Series C

Series D

Series E*

Total

Amount

Amount

Units

Amount

Units

Amount

Units

Amount

Units

Amount

Units

Amount

PARTNERS' CAPITAL - January 1, 2023

$

3,216,369

$

119,302,999

90,460.9714

$

7,896,417

4,884.6100

$

4,456,048

2,701.6303

$

8,405,063

5,512.0257

$ -

-

$

143,276,896

Capital contributions

-

600,000

469.0456

150,000

100.6155

120,000

78.8599

199,000

141.5260

82,002

83.1700

1,151,002

Capital withdrawals

-

(4,263,972)

(3,426.5588)

(418,166)

(271.7663)

(564,234)

(337.2452)

(3,419,672)

(2,397.5985)

-

-

(8,666,044)

Net income before profit share

220,234

4,250,302

-

406,994

-

242,092

-

21,958

-

8,467

-

5,150,047

Profit share

-

(902,463)

-

(85,918)

-

(49,723)

-

(50,657)

-

-

-

(1,088,761)

PARTNERS' CAPITAL -

September 30, 2023

$

3,436,603

$

118,986,866

87,503.4582

$

7,949,327

4,713.4592

$

4,204,183

2,443.2450

$

5,155,692

3,255.9532

$ 90,469

83.1700

$

139,823,140

Net Asset Value per Unit at

September 30, 2023

$

1,359.80

$

1,686.52

$

1,720.74

$

1,583.47

$

1,087.76

* Series E had a beginning unit value of $1,000.00 as of March 1, 2023

See notes to financial statements (Unaudited)

(Concluded)

5

Millburn Multi-Markets Fund L.P.

Statement of Financial Highlights (UNAUDITED)

For the three months ended September 30, 2024

The following information presents per unit operating performance data for each series for the three months ended September 30, 2024.

Per Unit Performance

(For a Unit Outstanding Throughout the Period)

Series A

Series B

Series C

Series D

Series E

NET ASSET VALUE PER UNIT - Beginning of period

$

1,350.55

$

1,695.35

$

1,729.75

$

1,584.43

$

1,109.29

INCOME (LOSS) ALLOCATED FROM THE MASTER FUND:

Net investment income (1)

1.71

10.20

10.39

6.70

11.13

Total trading and investing losses (1)

(118.48)

(150.22)

(153.73)

(139.57)

(97.24)

Net loss before profit share allocation from the Master Fund

(116.77)

(140.02)

(143.34)

(132.87)

(86.11)

Less: profit share allocation from the Master Fund (1) (6)

(7.61)

(20.21)

(21.10)

(15.43)

0.00

Net loss from operations after profit share allocation from the Master Fund

(109.16)

(119.81)

(122.24)

(117.44)

(86.11)

NET ASSET VALUE PER UNIT - End of period

$

1,241.39

$

1,575.54

$

1,607.51

$

1,466.99

$

1,023.18

TOTAL RETURN BEFORE PROFIT SHARE ALLOCATION FROM THE MASTER FUND (2)

(8.71)

%

(8.33)

%

(8.32)

%

(8.48)

%

(7.76)

%

LESS: PROFIT SHARE ALLOCATION FROM THE MASTER FUND (2) (6)

(0.63)

(1.26)

(1.25)

(1.07)

0.00

TOTAL RETURN AFTER PROFIT SHARE ALLOCATION FROM THE MASTER FUND (2)

(8.08)

%

(7.07)

%

(7.07)

%

(7.41)

%

(7.76)

%

RATIOS TO AVERAGE NET ASSET VALUE:

Expenses (3) (4) (5)

4.62

%

2.63

%

2.63

%

3.38

%

0.87

%

Profit share allocation from the Master Fund (2) (6)

(0.63)

(1.26)

(1.25)

(1.07)

0.00

Total expenses

3.99

%

1.37

%

1.38

%

2.31

%

0.87

%

Net investment income (3) (4) (5)

0.54

%

2.54

%

2.54

%

1.79

%

4.28

%

(1)The net investment income per unit and profit share allocation from the Master Fund per unit is calculated by dividing

the net investment income and profit share allocation from the Master Fund by the average number of units outstanding

during the period. Total trading and investing gains is a balancing amount necessary to reconcile the change in net

asset value per unit with the other per unit information.

(2) Not Annualized.

(3)Annualized.

(4) Includes the Partnership's proportionate share of income (if applicable) and expense allocated from the Master Fund.

(5)Excludes profit share allocation from the Master Fund.

(6)Profit share for Series B and C is calculated based on Series B and C aggregate trading profits and may be impacted

by rebalancing due to monthly capital activity.

See notes to financial statements (Unaudited)

(Continued)

6

Millburn Multi-Markets Fund L.P.

Statement of Financial Highlights (UNAUDITED)

For the nine months ended September 30, 2024

The following information presents per unit operating performance data for each series for the nine months ended September 30, 2024.

Per Unit Performance

(For a Unit Outstanding Throughout the Period)

Series A

Series B

Series C

Series D

Series E

NET ASSET VALUE PER UNIT - Beginning of period

$

1,210.16

$

1,513.26

$

1,543.97

$

1,416.78

$

969.81

INCOME (LOSS) ALLOCATED FROM THE MASTER FUND:

Net investment income (1)

4.80

30.64

31.25

19.97

33.81

Total trading and investing gains (1)

26.85

31.82

32.06

30.66

19.56

Net income before profit share allocation from the Master Fund

31.65

62.46

63.31

50.63

53.37

Less: profit share allocation from the Master Fund (1) (6)

0.42

0.18

(0.23)

0.42

0.00

Net income from operations after profit share allocation from the Master Fund

31.23

62.28

63.54

50.21

53.37

NET ASSET VALUE PER UNIT - End of period

$

1,241.39

$

1,575.54

$

1,607.51

$

1,466.99

$

1,023.18

TOTAL RETURN BEFORE PROFIT SHARE ALLOCATION FROM THE MASTER FUND (2)

2.61

%

4.13

%

4.11

%

3.57

%

5.50

%

LESS: PROFIT SHARE ALLOCATION TO (FROM) THE MASTER FUND (2) (6)

0.03

0.01

(0.01)

0.03

0.00

TOTAL RETURN AFTER PROFIT SHARE ALLOCATION FROM THE MASTER FUND (2)

2.58

%

4.12

%

4.12

%

3.54

%

5.50

%

RATIOS TO AVERAGE NET ASSET VALUE:

Expenses (3) (4) (5)

4.61

%

2.61

%

2.61

%

3.36

%

0.84

%

Profit share allocation from the Master Fund (2) (6)

0.03

0.01

(0.01)

0.03

0.00

Total expenses

4.64

%

2.62

%

2.60

%

3.39

%

0.84

%

Net investment income (3) (4) (5)

0.49

%

2.50

%

2.50

%

1.74

%

4.23

%

(1)The net investment income per unit and profit share allocation from the Master Fund per unit is calculated by dividing

the net investment income and profit share allocation from the Master Fund by the average number of units outstanding

during the period. Total trading and investing loss is a balancing amount necessary to reconcile the change in net

asset value per unit with the other per unit information.

(2) Not Annualized.

(3)Annualized.

(4) Includes the Partnership's proportionate share of income (if applicable) and expense allocated from the Master Fund.

(5)Excludes profit share allocation from the Master Fund.

(6)Profit share for Series B and C is calculated based on Series B and C aggregate trading profits and may be impacted

by rebalancing due to monthly capital activity.

See notes to financial statements (Unaudited)

(Concluded)

7

Millburn Multi-Markets Fund L.P.

Statement of Financial Highlights (UNAUDITED)

For the three months ended September 30, 2023

The following information presents per unit operating performance data for each series for the three months ended September 30, 2023.

Per Unit Performance

(For a Unit Outstanding Throughout the Period)

Series A

Series B

Series C

Series D

Series E (7)

NET ASSET VALUE PER UNIT - Beginning of period

$

1,236.29

$

1,530.60

$

1,561.66

$

1,438.37

$

972.38

INCOME ALLOCATED FROM THE MASTER FUND:

Net investment income (1)

0.24

8.29

8.54

4.12

10.57

Total trading and investing gains (1)

133.32

165.49

169.36

152.16

104.81

Net income before profit share allocation from the Master Fund

133.56

173.78

177.90

156.28

115.38

Less: profit share allocation from the Master Fund(1) (6)

10.05

17.86

18.82

11.18

0.00

Net income from operations after profit share allocation from the Master Fund

123.51

155.92

159.08

145.10

115.38

NET ASSET VALUE PER UNIT - End of period

$

1,359.80

$

1,686.52

$

1,720.74

$

1,583.47

$

1,087.76

TOTAL RETURN BEFORE PROFIT SHARE ALLOCATION FROM THE MASTER FUND (2)

10.79

%

11.32

%

11.32

%

11.12

%

11.87

%

LESS: PROFIT SHARE ALLOCATION TO THE MASTER FUND (2) (6)

0.80

1.13

1.13

1.03

0.00

TOTAL RETURN AFTER PROFIT SHARE ALLOCATION FROM THE MASTER FUND(2)

9.99

%

10.19

%

10.19

%

10.09

%

11.87

%

RATIOS TO AVERAGE NET ASSET VALUE:

Expenses (3) (4) (5)

4.65

%

2.64

%

2.64

%

3.40

%

0.88

%

Profit share allocation from the Master Fund (2) (6)

0.80

1.13

1.13

1.03

0.00

Total expenses

5.45

%

3.77

%

3.77

%

4.43

%

0.88

%

Net investment income (3) (4) (5)

0.09

%

2.09

%

2.09

%

1.34

%

3.84

%

(1)The net investment income per unit and profit share allocation from the Master Fund per unit is calculated by dividing

the net investment loss and profit share allocation from the Master Fund by the average number of units outstanding

during the period. Total trading and investing gains is a balancing amount necessary to reconcile the change in net

asset value per unit with the other per unit information.

(2)Not Annualized.

(3)Annualized.

(4) Includes the Partnership's proportionate share of income (if applicable) and expense allocated from the Master Fund.

(5)Excludes profit share allocation from the Master Fund.

(6)Profit share for Series B and C is calculated based on Series B and C aggregate trading profits and may be impacted

by rebalancing due to monthly capital activity.

(7)Initial offering price for Series E was $1,000as of March 1, 2023.

See notes to financial statements (Unaudited)

(Continued)

8

Millburn Multi-Markets Fund L.P.

Statement of Financial Highlights (UNAUDITED)

For the nine months ended September 30, 2023

The following information presents per unit operating performance data for each series for the nine months ended September 30, 2023.

Per Unit Performance

(For a Unit Outstanding Throughout the Period)

Series A

Series B

Series C

Series D

Series E (7)

NET ASSET VALUE PER UNIT - Beginning of period

$

1,318.83

$

1,616.59

$

1,649.39

$

1,524.86

$

1,000.00

INCOME (LOSS) ALLOCATED FROM THE MASTER FUND:

Net investment income (loss)(1)

(4.32)

17.84

18.29

7.63

26.11

Total trading and investing gains (1)

55.34

69.95

71.88

62.16

61.65

Net income before profit share allocation from the Master Fund

51.02

87.79

90.17

69.79

87.76

Less: profit share allocation from the Master Fund(1) (6)

10.05

17.86

18.82

11.18

0.00

Net income from operations after profit share allocation from the Master Fund

40.97

69.93

71.35

58.61

87.76

NET ASSET VALUE PER UNIT - End of period

$

1,359.80

$

1,686.52

$

1,720.74

$

1,583.47

$

1,087.76

TOTAL RETURN BEFORE PROFIT SHARE ALLOCATION FROM THE MASTER FUND (2)

3.91

%

5.49

%

5.49

%

4.61

%

8.78

%

LESS: PROFIT SHARE ALLOCATION TO THE MASTER FUND (2) (6)

0.80

1.16

1.16

0.77

0.00

TOTAL RETURN AFTER PROFIT SHARE ALLOCATION FROM THE MASTER FUND(2)

3.11

%

4.33

%

4.33

%

3.84

%

8.78

%

RATIOS TO AVERAGE NET ASSET VALUE:

Expenses (3) (4) (5)

4.58

%

2.58

%

2.58

%

3.32

%

0.83

%

Profit share allocation from the Master Fund (2) (6)

0.80

1.16

1.16

0.77

0.00

Total expenses

5.38

%

3.74

%

3.74

%

4.09

%

0.83

%

Net investment income (loss) (3) (4) (5)

(0.46)

%

1.54

%

1.54

%

0.70

%

3.56

%

(1) The net investment income (loss) per unit and profit share allocation from the Master Fund per unit is calculated by dividing

the net investment income (loss) and profit share allocation from the Master Fund by the average number of units outstanding

during the period. Total trading and investing gains is a balancing amount necessary to reconcile the change in net

asset value per unit with the other per unit information.

(2)Not Annualized.

(3)Annualized.

(4) Includes the Partnership's proportionate share of income (if applicable) and expense allocated from the Master Fund.

(5)Excludes profit share allocation from the Master Fund.

(6)Profit share for Series B and C is calculated based on Series B and C aggregate trading profits and may be impacted

by rebalancing due to monthly capital activity.

(7)Initial offering price for Series E was $1,000as of March 1, 2023.

See notes to financial statements (Unaudited)

(Concluded)

9

NOTES TO FINANCIAL STATEMENTS (UNAUDITED)

1. BASIS OF PRESENTATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES

The accompanying unaudited financial statements, in the opinion of management, include all adjustments (consisting only of normal recurring adjustments) necessary for a fair presentation of Millburn Multi-Markets Fund L.P.'s (the "Partnership") financial condition at September 30, 2024 (unaudited) and December 31, 2023 and the results of its operations for the three and nine months ended September 30, 2024 and 2023 (unaudited).

These financial statements present the results of interim periods and do not include all disclosures normally provided in annual financial statements. It is suggested that these financial statements be read in conjunction with the audited financial statements and notes included in the Partnership's 2023 annual report included in Form 10-K filed with the Securities and Exchange Commission. The December 31, 2023 information has been derived from the audited financial statements as of December 31, 2023.

The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America ("U.S. GAAP"), as detailed in the Financial Accounting Standards Board ("FASB") Accounting Standards Codification ("Codification"), requires management to make estimates and assumptions that affect the amounts and disclosures reported in the financial statements. Actual results could differ from these estimates.

The Partnership enters into contracts with various financial institutions that contain a variety of indemnification provisions. The Partnership's maximum exposure under these arrangements is unknown. However, the Partnership has not had prior claims or losses pursuant to these contracts and expects the risk of loss to be remote.

The Income Taxes (Topic 740) of the Codification clarifies the accounting for uncertainty in tax positions. This requires that the Partnership recognize in its financial statements the impact of any uncertain tax positions. Based on a review of the Partnership's open tax years, 2020 to 2023, Millburn Ridgefield Corporation (the "General Partner") has determined that no reserves for uncertain tax positions were required.

Investment Company Status: The Partnership is for U.S. GAAP purposes an investment company in accordance with FASB Codification 946 Financial Services - Investment Companies.

There have been no material changes with respect to the Partnership's critical accounting policies, off-balance sheet arrangements or disclosure of contractual obligations as reported in the Partnership's Annual Report on Form 10-K for fiscal year 2023.

2. INVESTMENT IN MILLBURN MULTI-MARKETS TRADING L.P.

The Partnership invests substantially all of its assets in Millburn Multi-Markets Trading L.P. (the "Master Fund"). The Partnership's ownership percentage of the Master Fund at September 30, 2024 and December 31, 2023 was 28.79% and 29.87%, respectively, of total partners' capital of the Master Fund. See the attached financial statements of the Master Fund.

3. RELATED PARTY TRANSACTIONS

The Partnership bears its own expenses, including, but not limited to, periodic legal, accounting and filing fees. Administrative and operating expenses related to investors in the Partnership (including their pro-rata share of Master Fund expenses) are not expected to exceed 1/2 of 1% per annum of the Partnership's average month-end partners' capital.

Series A Limited Partners that redeem Units at or prior to the end of the first eleven months after such Units are sold shall be assessed redemption charges calculated based on their redeemed Units' net asset value as of the date of redemption. All redemption charges will be paid to the General Partner. At September 30, 2024 and December 31, 2023, there were noredemption charges owed to the General Partner.

4. FINANCIAL HIGHLIGHTS

Per Unit operating performance for Series A, Series B, Series C, Series D and Series E Units is calculated based on Limited Partners' Partnership capital for each series taken as a whole utilizing the beginning and ending net asset value per unit and average number of units during the period. On March 1, 2023, there was a subscription of Series E for $1,000.

5. SUBSEQUENT EVENTS

The General Partner has performed its evaluation of subsequent events from October 1, 2024 to November 13, 2024, the date the Form 10-Q was filed. Based on such evaluation, no events were discovered that required disclosure or adjustment to the financial statements.

10

Millburn Multi-Markets Trading L.P.

Financial statements

As of and for the three and nine months ended September 30, 2024 and 2023 (unaudited)

Statements of Financial Condition (a)

12

Condensed Schedules of Investments (a)

13

Statements of Operations (c)

17

Statements of Changes in Partners' Capital (b)

19

Statements of Financial Highlights (c)

20

Notes to Financial Statements

22

(a) At September 30, 2024 (unaudited) and December 31, 2023

(b) For the nine months ended September 30, 2024 and 2023 (unaudited)

(c) For the three and nine months ended September 30, 2024 and 2023 (unaudited)

Millburn Multi-Markets Trading L.P.

Statements of Financial Condition

ASSETS

September 30, 2024 (unaudited)

December 31, 2023

EQUITY IN TRADING ACCOUNTS:

Investments in U.S. Treasury notes - at fair value (amortized cost

$77,521,807and $82,787,620)

$

77,626,656

$

82,759,250

Net unrealized appreciation on open futures and forward currency contracts

3,558,794

388,051

Due from brokers, net

5,396,522

6,533,080

Cash denominated in foreign currencies (cost $1,546,554and $3,016,827)

1,543,089

3,078,059

Total equity in trading accounts

88,125,061

92,758,440

INVESTMENTS IN U.S. TREASURY NOTES - at fair value

(amortized cost $310,688,456and $308,685,279)

311,233,000

309,001,616

CASH AND CASH EQUIVALENTS

15,226,232

18,967,049

ACCRUED INTEREST RECEIVABLE

2,564,576

2,684,345

OTHER ASSETS

100

187

TOTAL

$

417,148,969

$

423,411,637

LIABILITIES AND PARTNERS' CAPITAL

LIABILITIES:

Net unrealized depreciation on open futures and forward currency contracts

$

1,907,125

$

4,923,631

Cash overdrafts denominated in foreign currencies (cost $2,209,366and $0)

2,256,741

-

Subscriptions received in advance

950,000

130,000

Capital withdrawal payable to Limited Partners

976,483

2,364,950

Capital withdrawal payable to General Partner

-

257,741

Management fee payable

463,395

390,360

Selling commissions payable

168,103

178,816

Accrued expenses

638,580

232,073

Commissions and other trading fees on open futures contracts

26,087

34,086

Accrued profit share

53,452

-

Total liabilities

7,439,966

8,511,657

PARTNERS' CAPITAL

409,709,003

414,899,980

TOTAL

$

417,148,969

$

423,411,637

See notes to financial statements (Unaudited)


‎

12

Millburn Multi-Markets Trading L.P.

Condensed Schedule of Investments (unaudited)

September 30, 2024

Net Unrealized

Appreciation

(Depreciation)

Net Unrealized

as a % of

Appreciation

FUTURES AND FORWARD CURRENCY CONTRACTS

Partners' Capital

(Depreciation)

FUTURES CONTRACTS

Long futures contracts:

Currencies

(0.00)

%

$

(13,215)

Energies

(0.08)

(321,457)

Grains

(0.00)

(6,600)

Interest rates

0.75

3,077,730

Metals

1.11

4,563,903

Softs

0.07

286,180

Stock indices

0.19

771,448

Total long futures contracts

2.04

8,357,989

Short futures contracts:

Currencies

(0.15)

(630,986)

Energies

(0.01)

(58,869)

Grains

(0.17)

(709,936)

Interest rates

(0.04)

(153,242)

Livestock

(0.02)

(91,150)

Metals

(0.89)

(3,612,922)

Softs

(0.02)

(78,710)

Stock indices

(0.01)

(44,800)

Total short futures contracts

(1.31)

(5,380,615)

TOTAL INVESTMENTS IN FUTURES CONTRACTS - Net

0.73

2,977,374

FORWARD CURRENCY CONTRACTS

Total long forward currency contracts

1.11

4,534,562

Total short forward currency contracts

(1.44)

(5,860,267)

TOTAL INVESTMENTS IN FORWARD CURRENCY CONTRACTS - Net

(0.33)

(1,325,705)

TOTAL

0.40

%

$

1,651,669

(Continued)


‎

13

Millburn Multi-Markets Trading L.P.

Condensed Schedule of Investments (unaudited)

September 30, 2024

U.S. TREASURY NOTES

Face Amount

Description

Fair Value as a % of
‎Partners'
‎Capital

Fair Value

$

135,020,000

U.S. Treasury notes, 2.250%, 11/15/2024

32.86

%

$

134,632,344

127,770,000

U.S. Treasury notes, 2.000%, 02/15/2025

30.90

126,582,138

129,330,000

U.S. Treasury notes, 2.125%, 05/15/2025

31.15

127,645,174

Total investments in U.S. Treasury notes

(amortized cost $388,210,263)

94.91

%

$

388,859,656

See notes to financial statements (Unaudited)

(Concluded)


‎

14

Millburn Multi-Markets Trading L.P.

Condensed Schedule of Investments

December 31, 2023

Net Unrealized

Appreciation

(Depreciation)

Net Unrealized

as a % of

Appreciation

FUTURES AND FORWARD CURRENCY CONTRACTS

Partners' Capital

(Depreciation)

FUTURES CONTRACTS

Long futures contracts:

Currencies

(0.00)

%

$

(13,413)

Energies

(0.47)

(1,954,311)

Interest rates

0.56

2,304,253

Livestock

(0.00)

(10,480)

Metals

0.48

1,975,894

Softs

(0.01)

(51,788)

Stock indices

0.13

558,003

Total long futures contracts

0.69

2,808,158

Short futures contracts:

Currencies

(0.04)

(183,361)

Energies

(0.27)

(1,108,380)

Grains

0.07

309,433

Interest rates

(0.88)

(3,643,573)

Livestock

0.00

4,330

Metals

(0.49)

(2,048,679)

Softs

0.14

599,335

Stock indices

0.08

340,579

Total short futures contracts

(1.39)

(5,730,316)

TOTAL INVESTMENTS IN FUTURES CONTRACTS - Net

(0.70)

(2,922,158)

FORWARD CURRENCY CONTRACTS

Total long forward currency contracts

2.24

9,297,400

Total short forward currency contracts

(2.63)

(10,910,822)

TOTAL INVESTMENTS IN FORWARD CURRENCY CONTRACTS - Net

(0.39)

(1,613,422)

TOTAL

(1.09)

%

$

(4,535,580)

(Continued)


‎

15

Millburn Multi-Markets Trading L.P.

Condensed Schedule of Investments

December 31, 2023

U.S. TREASURY NOTES

Face Amount

Description

Fair Value as a % of
‎Partners'
‎Capital

Fair Value

$

105,680,000

U.S. Treasury notes, 2.750%, 02/15/2024

25.39

%

$

105,345,622

101,530,000

U.S. Treasury notes, 2.500%, 05/15/2024

24.23

100,544,445

99,490,000

U.S. Treasury notes, 2.375%, 08/15/2024

23.59

97,867,458

90,020,000

U.S. Treasury notes, 2.250%, 11/15/2024

21.21

88,003,341

Total investments in U.S. Treasury notes

(amortized cost $391,472,899)

94.42

%

$

391,760,866

See notes to financial statements (Unaudited)

(Concluded)


‎

16

Millburn Multi-Markets Trading L.P.

Statements of Operations (unaudited)

For the three months ended

September 30

September 30

2024

2023

INVESTMENT INCOME - Interest income, net

5,338,374

$

5,344,898

EXPENSES:

Brokerage commissions

429,559

434,130

Management fees

1,407,701

1,294,773

Selling commissions and platform fees

518,332

576,002

Administrative and operating expenses

284,827

318,189

Custody fees and other expenses

18,667

20,083

Total expenses

2,659,086

2,643,177

NET INVESTMENT INCOME

2,679,288

2,701,721

REALIZED AND UNREALIZED GAINS (LOSSES):

Net realized gains (losses) on closed positions:

Futures and forward currency contracts

(31,117,979)

38,492,519

Foreign exchange transaction

(26,987)

(347,005)

Net change in unrealized:

Futures and forward currency contracts

(6,634,696)

7,949,340

Foreign exchange translation

23,531

170,511

Net gains (losses) from U.S. Treasury notes

Realized

11,081

(109,550)

Net change in unrealized

847,565

411,769

Total net realized and unrealized gains (losses)

(36,897,485)

46,567,584

NET INCOME (LOSS)

(34,218,197)

49,269,305

LESS PROFIT SHARE TO (FROM) GENERAL PARTNER

(3,111,555)

5,285,625

NET INCOME (LOSS) AFTER PROFIT SHARE TO GENERAL PARTNER

(31,106,642)

$

43,983,680

See notes to financial statements (Unaudited)


‎

17

Millburn Multi-Markets Trading L.P.

Statements of Operations (unaudited)

For the nine months ended

September 30

September 30

2024

2023

INVESTMENT INCOME - Interest income, net

16,436,566

$

13,663,627

EXPENSES:

Brokerage commissions

1,394,270

1,316,326

Management fees

4,474,689

3,818,167

Selling commissions and platform fees

1,650,868

1,718,930

Administrative and operating expenses

836,430

851,112

Custody fees and other expenses

57,543

59,079

Total expenses

8,413,800

7,763,614

NET INVESTMENT INCOME

8,022,766

5,900,013

REALIZED AND UNREALIZED GAINS (LOSSES):

Net realized gains (losses) on closed positions:

Futures and forward currency contracts

7,469,718

21,877,550

Foreign exchange transaction

(241,708)

(859,560)

Net change in unrealized:

Futures and forward currency contracts

6,187,249

(2,089,197)

Foreign exchange translation

(112,072)

260,693

Net gains (losses) from U.S. Treasury notes

Realized

(24,430)

(237,850)

Net change in unrealized

361,426

1,503,091

Total net realized and unrealized gains

13,640,183

20,454,727

NET INCOME

21,662,949

26,354,740

LESS PROFIT SHARE TO GENERAL PARTNER

843,264

5,390,027

NET INCOME AFTER PROFIT SHARE TO GENERAL PARTNER

20,819,685

$

20,964,713


‎

18

Millburn Multi-Markets Trading L.P.

Statements of Changes in Partners' Capital (unaudited)

For the nine months ended September 30, 2024

Limited Partners

New Profit Memo Account

General Partner

Total

PARTNERS' CAPITAL - January 1, 2024

$

413,703,860

$

-

$

1,196,120

$

414,899,980

Contributions

30,891,408

789,812

-

31,681,220

Withdrawals

(57,691,882)

-

-

(57,691,882)

Net income (loss) before profit share

21,667,293

(72,447)

68,103

21,662,949

General Partner's allocation - profit share

(843,264)

-

-

(843,264)

PARTNERS' CAPITAL- September 30, 2024

$

407,727,415

$

717,365

$

1,264,223

$

409,709,003

For the nine months ended September 30, 2023

Limited Partners

New Profit Memo Account

General Partner

Total

PARTNERS' CAPITAL - January 1, 2023

$

454,468,058

$

-

$

1,252,132

$

455,720,190

Contributions

133,447,231

59,979

-

133,507,210

Withdrawals

(147,573,919)

-

-

(147,573,919)

Net income before profit share

26,259,136

7,173

88,431

26,354,740

General Partner's allocation - profit share

(5,390,027)

-

-

(5,390,027)

PARTNERS' CAPITAL- September 30, 2023

$

461,210,479

-

$

67,152

-

$

1,340,563

-

$

462,618,194

See notes to financial statements (Unaudited)


‎

19

Millburn Multi-Markets Trading L.P.

Statements of Financial Highlights (unaudited)

The following information presents financial highlights of a Limited Partner that is charged a monthly management fee of 1/12 of 1.75% and an annual profit share of 20% of Trading Profits (as defined in the Limited Partnership Agreement).

For the three months ended

For the nine months ended

September 30

September 30

September 30

September 30

2024

2023

2024

2023

Total return before General Partner profit share allocation (3)

(8.27)

%

11.42

%

4.31

%

5.72

%

Less: General Partner profit share allocation (3)

(1.31)

1.15

-

1.19

Total return after General Partner profit share allocation (3)

(6.96)

%

10.27

%

4.31

%

4.53

%

Ratios to average net asset value:

Expenses (1) (4)

2.35

%

2.29

%

2.38

%

2.31

%

General Partner profit share allocation (3)

(1.31)

1.15

-

1.19

Total expenses (1)

1.04

%

3.44

%

2.38

%

3.50

%

Net investment income (1) (2) (4)

2.85

%

2.38

%

2.72

%

1.81

%

Total returns and the ratios to average net asset value are calculated for a Limited Partner.

(1)Includes the Limited Partner's proportionate share of expenses allocated from the Master Fund's

operations for the three and nine months ended September 30, 2024 and 2023.

(2)Excludes General Partner profit share allocation and includes interest income.

(3)Not Annualized.

(4)Annualized.

See notes to financial statements (Unaudited)
‎

20

Millburn Multi-Markets Trading L.P.

Statements of Financial Highlights (unaudited)

The following information presents financial highlights for Limited Partners as a whole.

For the three months ended

For the nine months ended

September 30

September 30

September 30

September 30

2024

2023

2024

2023

Total return before General Partner profit share allocation (3)

(7.85)

%

11.31

%

4.60

%

5.74

%

Less: General Partner profit share allocation (3)

(0.75)

1.17

0.20

1.23

Total return after General Partner profit share allocation (3)

(7.10)

%

10.14

%

4.40

%

4.51

%

Ratios to average net asset value:

Expenses (1) (4)

2.58

%

2.32

%

2.62

%

2.36

%

General Partner profit share allocation (3)

(0.75)

1.17

0.20

1.23

Total expenses (1)

1.83

%

3.49

%

2.82

%

3.59

%

Net investment income (1) (2) (4)

2.61

%

2.35

%

2.46

%

1.77

%

Total returns and the ratios to average net asset value are calculated for a Limited Partner. An individual Limited Partner's total returns and ratios may vary from the above total returns and ratios based on different management fee and General Partner profit share allocation agreements and the timing of contributions and withdrawals.

(1)Includes the Limited Partners' proportionate share of expenses allocated from the Master Fund's

operations for the three and nine months ended September 30, 2024 and 2023.

(2) Excludes General Partner profit share allocation and includes interest income.

(3)Not Annualized.

(4)Annualized.

See notes to financial statements (Unaudited)


‎

21

NOTES TO FINANCIAL STATEMENTS

1. BASIS OF PRESENTATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES

The Master Fund engages in the speculative trading of futures and forward currency contracts and also acts as a master fund for the Partnership, and Millburn Multi-Markets Ltd., a Cayman Islands exempted company (the "Cayman Feeder").

The accompanying financial statements, in the opinion of management, include all adjustments (consisting only of normal recurring adjustments) necessary for a fair presentation of the Master Fund's financial condition at September 30, 2024 (unaudited) and December 31, 2023 (audited) and the results of its operations for the three and nine months ended September 30, 2024 and 2023 (unaudited).

These financial statements present the results of interim periods and do not include all disclosures normally provided in annual financial statements. It is suggested that these financial statements be read in conjunction with the audited financial statements and notes included in the Master Fund's annual report for the year ended December 31, 2023 included in the Partnership's annual report on Form 10-K filed with the Securities and Exchange Commission. The December 31, 2023 information has been derived from the audited financial statements as of December 31, 2023.

The preparation of financial statements in conformity with U.S. GAAP in the U.S, as detailed in the FASB Codification, requires management to make estimates and assumptions that affect the amounts and disclosures reported in the financial statements. Actual results could differ from these estimates.

The Master Fund enters into contracts with various financial institutions that contain a variety of indemnification provisions. The Master Fund's maximum exposure under these arrangements is unknown. However, the Master Fund has not had prior claims or losses pursuant to these contracts and expects the risk of loss to be remote.

The Income Taxes (Topic 740) of the Codification clarifies the accounting for uncertainty in tax positions. This requires that the Partnership recognize in its financial statements the impact of any uncertain tax positions. Based on a review of the Partnership's open tax years, 2020 to 2023, the General Partner has determined that no reserves for uncertain tax positions were required.

Investment Company Status: The Partnership is for U.S. GAAP purposes an investment company in accordance with FASB Codification 946 Financial Services - Investment Companies.

2. INVESTORS IN MILLBURN MULTI-MARKETS TRADING L.P.

The Partnership and the Cayman Feeder invest substantially all of their assets in the Master Fund. At September 30, 2024 and December 31, 2023, the respective ownership percentages of the Master Fund are detailed below. The remaining interests are held by direct investors in the Master Fund.

September 30

December 31,

2024

2023

Partnership

28.79

%

29.87

%

Cayman Feeder

53.68

%

54.29

%

Total

82.47

%

84.16

%

The capital withdrawals payable at September 30, 2024 and December 31, 2023 were $976,483and $2,622,691, respectively, as detailed below.

September 30

December 31,

2024

2023

Direct investors(1)

$

400,657

$

257,741

Partnership

370,694

153,125

Cayman Feeder

205,132

2,211,825

Total

$

976,483

$

2,622,691

(1)Includes General Partner's profit share of $257,741at December 31, 2023.

22

The Master Fund bears expenses, including, but not limited to, periodic legal, accounting and filing fees, up to an amount equal to 1/4 of 1% per annum of average net assets of the Master Fund (the "Expense Cap"). Amounts subject to the Expense Cap include expenses incurred at the Master Fund and Cayman Feeder level. The General Partner bears any excess over such amounts.

3. FAIR VALUE

The Fair Value Measurement (Topic 820) of the Codification defines fair value, establishes a framework for measuring fair value, and expands disclosures about fair value measurements. The three levels of the fair value hierarchy are described below:

Level 1: Unadjusted quoted prices in active markets that are accessible at the measurement date for identical, unrestricted assets or liabilities;

Level 2: Quoted prices in markets that are not active or financial instruments for which all significant inputs are observable, either directly or

indirectly; and

Level 3: Prices or valuations that require inputs that are both significant to the fair value measurement and unobservable.

In determining fair value, the Master Fund separates its investments into two categories: cash instruments and derivative contracts.

Cash Instruments. The Master Fund's cash instruments are generally classified within Level 1 of the fair value hierarchy because they are typically valued using quoted market prices. The types of instruments valued based on quoted market prices in active markets include U.S. government obligations. The General Partner does not adjust the quoted price for such instruments, even in situations where the Master Fund holds a large position and a sale could reasonably impact the quoted price.

Cash equivalents includes investments in Dreyfus Treasury Securities Cash Management, a short term U.S. government securities money market fund, that is readily convertible to cash and has an original maturity of 90 days or less.

Derivative Contracts. Derivative contracts can be exchange-traded or over-the-counter ("OTC"). Exchange-traded futures contracts are valued based on quoted closing settlement prices and typically fall within Level 1 of the fair value hierarchy.

Spot currency contracts are valued based on current market prices ("Spot Price"). Forward currency contracts are valued based on pricing models that consider the Spot Price plus the financing cost or benefit ("Forward Point"). Forward Points from the quotation service providers are generally in periods of one month, two months, three months, six months, nine months and twelve months forward while the contractual forward delivery dates for the forward currency contracts traded by the Master Fund may be in between these periods. The General Partner's policy to determine fair value for forward currency contracts involves first calculating the number of months from the date the forward currency contract is being valued to its maturity date ("Months to Maturity"), then identifying the forward currency contracts for the two forward months that are closest to the Months to Maturity ("Forward Month Contracts"). Linear interpolation is then performed between the dates of these two Forward Month Contracts to calculate the interpolated Forward Point. Model inputs can generally be verified and model selection does not involve significant management judgment. Such instruments are typically classified within Level 2 of the fair value hierarchy.

During the three and nine months ended September 30, 2024 and 2023, there were notransfers of assets or liabilities between Level 1 and Level 2. The following tables represent the Master Fund's investments by hierarchical level as of September 30, 2024 and December 31, 2023 in valuing the Master Fund's investments at fair value. At September 30, 2024 and December 31, 2023, the Master Fund had noassets or liabilities in Level 3.


‎

23

Financial assets and liabilities at fair value as of September 30, 2024

Level 1

Level 2

Total

U.S. Treasury notes (1)

$

388,859,656

$

-

$

388,859,656

Short-Term Money Market Fund*

14,976,232

-

14,976,232

Exchange-traded futures contracts

Currencies

(644,201)

-

(644,201)

Energies

(380,326)

-

(380,326)

Grains

(716,536)

-

(716,536)

Interest rates

2,924,488

-

2,924,488

Livestock

(91,150)

-

(91,150)

Metals

950,981

-

950,981

Softs

207,470

-

207,470

Stock indices

726,648

-

726,648

Total exchange-traded futures contracts

2,977,374

-

2,977,374

Over-the-counter forward currency contracts

-

(1,325,705)

(1,325,705)

Total futures and forward currency contracts (2)

2,977,374

(1,325,705)

1,651,669

Total financial assets and liabilities at fair value

$

406,813,262

$

(1,325,705)

$

405,487,557

Per line item in Statements of Financial Condition

(1)

Investments in U.S. Treasury notes held in equity trading accounts as collateral

$

77,626,656

Investments in U.S. Treasury notes held in custody

311,233,000

Total investments in U.S. Treasury notes

$

388,859,656

(2)

Net unrealized appreciation on open futures and forward currency contracts

$

3,558,794

Net unrealized depreciation on open futures and forward currency contracts

(1,907,125)

Total net unrealized appreciation on open futures and forward currency contracts

$

1,651,669

* The short-term money market fund is included in Cash and Cash Equivalents on the Statements of Financial Condition.


‎

24

Financial assets and liabilities at fair value as of December 31, 2023

Level 1

Level 2

Total

U.S. Treasury notes (1)

$

391,760,866

$

-

$

391,760,866

Short-Term Money Market Fund*

18,717,049

-

18,717,049

Exchange-traded futures contracts

Currencies

(196,774)

-

(196,774)

Energies

(3,062,691)

-

(3,062,691)

Grains

309,433

-

309,433

Interest rates

(1,339,320)

-

(1,339,320)

Livestock

(6,150)

-

(6,150)

Metals

(72,785)

-

(72,785)

Softs

547,547

-

547,547

Stock indices

898,582

-

898,582

Total exchange-traded futures contracts

(2,922,158)

-

(2,922,158)

Over-the-counter forward currency contracts

-

(1,613,422)

(1,613,422)

Total futures and forward currency contracts (2)

(2,922,158)

(1,613,422)

(4,535,580)

Total financial assets and liabilities at fair value

$

407,555,757

$

(1,613,422)

$

405,942,335

Per line item in Statements of Financial Condition

(1)

Investments in U.S. Treasury notes held in equity trading accounts as collateral

$

82,759,250

Investments in U.S. Treasury notes

309,001,616

Total investments in U.S. Treasury notes

$

391,760,866

(2)

Net unrealized appreciation on open futures and forward currency contracts

$

388,051

Net unrealized depreciation on open futures and forward currency contracts

(4,923,631)

Total net unrealized depreciation on open futures and forward currency contracts

$

(4,535,580)

* The short-term money market fund is included in Cash and Cash Equivalents on the Statements of Financial Condition.


‎

25

4. DERIVATIVE INSTRUMENTS

The Derivatives and Hedging (Topic 815) of the Codification requires qualitative disclosure about objectives and strategies for using derivatives, quantitative disclosures about fair value amounts of gains and losses on derivative instruments and disclosures about credit-risk-related contingent features in derivative agreements.

The Master Fund's market risk is influenced by a wide variety of factors, including the level and volatility of interest rates, exchange rates, equity price levels, the market value of financial instruments and contracts, the diversification effects among the Master Fund's open positions and the liquidity of the markets in which it trades.

The Master Fund engages in the speculative trading of futures and forward contracts on interest rates, grains, softs, currencies, metals, energies, livestock and stock indices. The following were the primary trading risk exposures of the Master Fund at September 30, 2024 by market sector:

Agricultural (grains, livestock and softs) - The Master Fund's primary exposure is to agricultural price movements, which are often directly affected by severe or unexpected weather conditions, as well as supply and demand factors.

Currencies - Exchange rate risk is a principal market exposure of the Master Fund. The Master Fund's currency exposure is to exchange rate fluctuations, primarily fluctuations which disrupt the historical pricing relationships between different currencies and currency pairs. The fluctuations are influenced by interest rate changes, as well as political and general economic conditions. The Master Fund trades in a large number of currencies, including cross-rates-e.g., positions between two currencies other than the U.S. dollar.

Energies - The Master Fund's primary energy market exposure is to gas and oil price movements often resulting from political developments in the oil producing countries and economic conditions worldwide. Energy prices are volatile and substantial profits and losses have been and are expected to continue to be experienced in this sector.

Interest rates - Interest rate movements directly affect the price of the sovereign bond futures positions held by the Master Fund and indirectly the value of its stock index and currency positions. Interest rate movements in one country, as well as relative interest rate movements between countries may materially impact the Master Fund's profitability. The Master Fund's primary interest rate exposure is to interest rate fluctuations in countries or regions including Australia, Canada, Japan, Switzerland, the United Kingdom, the U.S. and the Eurozone. However, the Master Fund also may take positions in futures contracts on the government debt of other nations. The General Partner anticipates that interest rates in these industrialized countries or areas, both long-term and short-term, will remain the primary interest rate market exposure of the Master Fund for the foreseeable future.

Metals - The Master Fund's metals market exposure is to fluctuations in the price of aluminum, copper, gold, lead, nickel, platinum, silver, tin and zinc.

Stock indices - The Master Fund's equity exposure, through stock index futures, is to equity price risk in the major industrialized countries, as well as other countries.

The Derivatives and Hedging (Topic 815) of the Codification requires entities to recognize in the Statements of Financial Condition all derivative contracts as assets or liabilities. Fair values of futures and forward currency contracts in a net asset position by counterparty are recorded in the Statements of Financial Condition as "Net unrealized appreciation on open futures and forward currency contracts." Fair values of futures and forward currency contracts in a net liability position by counterparty are recorded in the Statements of Financial Condition as "Net unrealized depreciation on open futures and forward currency contracts." The Master Fund's policy regarding fair value measurement is discussed in the Fair Value note, contained herein.

Since the derivatives held or sold by the Master Fund are for speculative trading purposes, the derivative instruments are not designated as hedging instruments under the provisions of the Derivatives and Hedging guidance. Accordingly, all realized gains and losses, as well as any change in net unrealized gains or losses on open positions from the preceding period, are recognized as part of the Master Fund's trading gains and losses in the Statements of Operations.

The following tables present the fair value of open futures and forward currency contracts, held long or sold short, at September 30, 2024 and December 31, 2023. Fair value is presented on a gross basis even though the contracts are subject to master netting agreements and qualify for net presentation in the Master Fund's Statements of Financial Condition.


‎

26

Fair value of futures and forward currency contracts at September 30, 2024

Net Unrealized

Fair Value - Long Positions

Fair Value - Short Positions

Gain (Loss) on

Sector

Gains

Losses

Gains

Losses

Open Positions

Futures contracts:

Currencies

$

22,200

$

(35,415)

$

131,960

$

(762,946)

$

(644,201)

Energies

77,265

(398,722)

17,625

(76,494)

(380,326)

Grains

1,040

(7,640)

43,300

(753,236)

(716,536)

Interest rates

4,374,391

(1,296,661)

31,825

(185,067)

2,924,488

Livestock

-

-

3,720

(94,870)

(91,150)

Metals

4,684,006

(120,103)

113,301

(3,726,223)

950,981

Softs

319,028

(32,848)

255

(78,965)

207,470

Stock indices

1,591,690

(820,242)

203,156

(247,956)

726,648

Total futures contracts

11,069,620

(2,711,631)

545,142

(5,925,757)

2,977,374

Forward currency contracts

5,465,639

(931,077)

1,223,645

(7,083,912)

(1,325,705)

Total futures and forward currency contracts

$

16,535,259

$

(3,642,708)

$

1,768,787

$

(13,009,669)

$

1,651,669

Fair value of futures and forward currency contracts at December 31, 2023

Net Unrealized

Fair Value - Long Positions

Fair Value - Short Positions

Gain (Loss) on

Sector

Gains

Losses

Gains

Losses

Open Positions

Futures contracts:

Currencies

$

27,753

$

(41,166)

$

14,145

$

(197,506)

$

(196,774)

Energies

-

(1,954,311)

235,427

(1,343,807)

(3,062,691)

Grains

-

-

593,133

(283,700)

309,433

Interest rates

2,570,886

(266,633)

321,540

(3,965,113)

(1,339,320)

Livestock

-

(10,480)

4,330

-

(6,150)

Metals

2,220,102

(244,208)

254,665

(2,303,344)

(72,785)

Softs

-

(51,788)

617,612

(18,277)

547,547

Stock indices

753,414

(195,411)

387,967

(47,388)

898,582

Total futures contracts

5,572,155

(2,763,997)

2,428,819

(8,159,135)

(2,922,158)

Forward currency contracts

9,695,517

(398,117)

409,647

(11,320,469)

(1,613,422)

Total futures and forward currency contracts

$

15,267,672

$

(3,162,114)

$

2,838,466

$

(19,479,604)

$

(4,535,580)

27

The effect of trading futures and forward currency contracts is represented on the Master Fund's Statements of Operations for the three and nine months ended September 30, 2024 and 2023 as "Net realized gains (losses) on closed positions: Futures and forward currency contracts" and "Net change in unrealized: Futures and forward currency contracts." These trading gains and losses are detailed below.

Trading gains (losses) of futures and forward currency contracts for the three and nine months ended September 30, 2024 and 2023

Three months

Three months

Nine months

Nine months

ended:

ended:

ended:

ended:

September 30

September 30

September 30

September 30

Sector

2024

2023

2024

2023

Futures contracts:

Currencies

$

(3,672,869)

$

251,529

$

(695,964)

$

1,742,500

Energies

(15,017,785)

22,315,642

(6,378,863)

(1,695,209)

Grains

(1,643,764)

1,362,094

3,349,712

532,645

Interest rates

(11,314,507)

23,522,867

14,615,367

10,014,018

Livestock

(172,360)

(4,940)

(430,470)

199,970

Metals

2,352,387

3,544,059

(2,577,162)

3,834,265

Softs

438,764

(187,991)

(1,278,328)

162,578

Stock indices

2,938,986

(3,245,872)

11,788,496

2,036,714

Total futures contracts

(26,091,148)

47,557,388

18,392,788

16,827,481

Forward currency contracts

(11,661,527)

(1,115,529)

(4,735,821)

2,960,872

Total futures and forward currency contracts

$

(37,752,675)

$

46,441,859

$

13,656,967

$

19,788,353

For the three months ended September 30, 2024and 2023, the monthly average number of futures contracts bought and sold and the monthly average notional value of forward currency contracts traded are detailed below:

2024

2023

Average bought

60,570

55,139

Average sold

51,188

58,765

Average notional (in billions)

$

4.1

$

3.6

The customer agreements between the Master Fund, the futures clearing brokers including, Deutsche Bank Securities Inc. (a wholly owned subsidiary of Deutsche Bank AG), BofA Securities, Inc. (formerly Merrill Lynch Pierce, Fenner & Smith Inc.) and Goldman Sachs & Co. LLC, as well as the FX prime brokers, Deutsche Bank AG ("DB") and Bank of America, N.A. ("BA"), give the Master Fund the legal right to net unrealized gains and losses on open futures and forward currency contracts. The Master Fund netted, for financial reporting purposes, the unrealized gains and losses on open futures and forward currency contracts on the Statements of Financial Condition as the criteria under FASB Accounting Standards Codification Topic 210, "Balance Sheet," were met.


‎

28

The following tables present gross amounts of assets or liabilities which qualify for offset as presented in the Statements of Financial Condition as of September 30, 2024 and December 31, 2023.

Offsetting of derivative assets and liabilities at September 30, 2024

Gross amounts

Net amounts of

offset in the

assets presented in

Gross amounts of

Statements of

the Statements of

Assets

recognized assets

Financial Condition

Financial Condition

Futures contracts

Counterparty C

$

1,212,329

$

(505,846)

$

706,483

Counterparty L

10,368,025

(7,515,714)

2,852,311

Total futures contracts

11,580,354

(8,021,560)

3,558,794

Total assets

$

11,580,354

$

(8,021,560)

$

3,558,794

Gross amounts

Net amounts of

offset in the

liabilities presented in

Gross amounts of

Statements of

the Statements of

Liabilities

recognized liabilities

Financial Condition

Financial Condition

Futures contracts

Counterparty J

$

615,828

$

(34,408)

$

581,420

Total futures contracts

615,828

(34,408)

581,420

Forward currency contracts

Counterparty G

2,598,138

(2,510,261)

87,877

Counterparty K

5,416,851

(4,179,023)

1,237,828

Total forward currency contracts

8,014,989

(6,689,284)

1,325,705

Total liabilities

$

8,630,817

$

(6,723,692)

$

1,907,125


‎

29

Amounts Not Offset in the Statements of Financial Condition

Net amounts of

Assets

presented in the

Counterparty

Statements of Financial

Financial

Collateral

Condition

Instruments

Received(1)(2)

Net Amount(3)

Counterparty C

$

706,483

$

-

$

(706,483)

$

-

Counterparty L

2,852,311

-

(2,852,311)

-

Total

$

3,558,794

$

-

$

(3,558,794)

$

-

Amounts Not Offset in the Statements of Financial Condition

Net amounts of

Liabilities

presented in the

Counterparty

Statements of Financial

Financial

Collateral

Condition

Instruments

Pledged(1)(2)

Net Amount(4)

Counterparty J

$

581,420

$

-

$

581,420

$

-

Counterparty G

87,877

-

87,877

-

Counterparty K

1,237,828

-

1,237,828

-

Total

$

1,907,125

$

-

$

1,907,125

$

-

(1) Collateral received includes trades made on exchanges. These trades are subject to central counterparty clearing where

settlement is guaranteed by the exchange. Collateral pledged includes both cash and U.S. Treasury notes held at each

respective counterparty.

(2) Collateral disclosed is limited to an amount not to exceed 100% of the net amount of liabilities presented in the

Statements of Financial Condition, for each respective counterparty.

(3)Net amount represents the amount that is subject to loss in the event of a counterparty failure as of September 30, 2024.

(4)Net amount represents the amounts owed by the Master Fund to each counterparty as of September 30, 2024.


‎

30

Offsetting of derivative assets and liabilities at December 31, 2023

Gross amounts

Net amounts of

offset in the

assets presented in

Gross amounts of

Statements of

the Statements of

Assets

recognized assets

Financial Condition

Financial Condition

Futures contracts

Counterparty C

$

1,439,086

$

(1,051,035)

$

388,051

Total assets

$

1,439,086

$

(1,051,035)

$

388,051

Gross amounts

Net amounts of

offset in the

liabilities presented in

Gross amounts of

Statements of

the Statements of

Liabilities

recognized liabilities

Financial Condition

Financial Condition

Futures contracts

Counterparty J

$

618,432

$

(385,761)

$

232,671

Counterparty L

9,253,665

(6,176,127)

3,077,538

Total futures contracts

9,872,097

(6,561,888)

3,310,209

Forward currency contracts

Counterparty G

4,860,154

(4,122,044)

738,110

Counterparty K

6,858,432

(5,983,120)

875,312

Total forward currency contracts

11,718,586

(10,105,164)

1,613,422

Total liabilities

$

21,590,683

$

(16,667,052)

$

4,923,631


‎

31

Amounts Not Offset in the Statements of Financial Condition

Net amounts of

Assets

presented in the

Counterparty

Statements of Financial

Financial

Collateral

Condition

Instruments

Received(1)(2)

Net Amount(3)

Counterparty C

$

388,051

$

-

$

(388,051)

$

-

Total

$

388,051

$

-

$

(388,051)

$

-

Amounts Not Offset in the Statements of Financial Condition

Net amounts of

Liabilities

presented in the

Counterparty

Statements of Financial

Financial

Collateral

Condition

Instruments

Pledged(1)(2)

Net Amount(4)

Counterparty J

$ 232,671

$ -

$ 232,671

$ -

Counterparty L

3,077,538

-

3,077,538

-

Counterparty G

738,110

-

738,110

-

Counterparty K

875,312

-

875,312

-

Total

$ 4,923,631

$ -

$ 4,923,631

$ -

(1) Collateral received includes trades made on exchanges. These trades are subject to central counterparty clearing where

settlement is guaranteed by the exchange. Collateral pledged includes both cash and U.S. Treasury notes held at each

respective counterparty.

(2)Collateral disclosed is limited to an amount not to exceed 100% of the net amount of liabilities presented in the Statements

of Financial Condition, for each respective counterparty.

(3)Net amount represents the amount that is subject to loss in the event of a counterparty failure as of December 31, 2023.

(4)Net amount represents the amounts owed by the Master Fund to each counterparty as of December 31, 2023.

CONCENTRATION OF CREDIT RISK

Credit risk is the possibility that a loss may occur due to the failure of a counterparty to perform according to the terms of a contract. Credit risk is normally reduced to the extent that an exchange or clearing organization acts as a counterparty to futures transactions since typically the collective credit of the members of the exchange is pledged to support the financial integrity of the exchange.

The General Partner seeks to minimize credit risk primarily by depositing and maintaining the Master Fund's assets at financial institutions and trading counterparties which the General Partner believes to be creditworthy. In addition, for OTC forward currency contracts, the Master Fund enters into master netting agreements with its counterparties. Collateral posted at the various counterparties for trading of futures and forward currency contracts includes cash and U.S. Treasury notes.

The Master Fund's forward currency trading activities are cleared by DB, and BA. The Master Fund's concentration of credit risk associated with DB, or BA nonperformance includes unrealized gains inherent in such contracts, which are recognized in the Statements of Financial Condition plus the value of margin or collateral held by DB, and BA. The amount of such credit risk was $42,902,607and $44,786,673at September 30, 2024 and December 31, 2023, respectively.

32

5. PROFIT SHARE

The following table indicates the total profit share earned and accrued during the three and nine months ended September 30, 2024 and 2023. Profit share earned (from Limited Partners' redemptions) is credited to the New Profit Memo Account as defined in the Master Fund's Agreement of Limited Partnership.

Three months ended:

Three months ended:

September 30, 2024

September 30, 2023

Profit share earned

$

20,132

$

59,979

Reversal of profit share (1)

(3,185,139)

(104,402)

Profit share accrued

53,452

5,330,048

Total profit share

$

(3,111,555)

$

5,285,625

Nine months ended:

Nine months ended:

September 30, 2024

September 30, 2023

Profit share earned

$

789,812

$

59,979

Profit share accrued

53,452

5,330,048

Total profit share

$

843,264

$

5,390,027

(1)Reversal of profit sharing occurs on July 1st

6. FINANCIAL HIGHLIGHTS

Ratios to average capital are calculated based on 1) a Limited Partner that is charged a monthly management fee of 1/12 of 1.75% (1.75% per annum) and 20% of Trading Profits and 2) Limited Partners' capital taken as a whole. The computation of such ratios based on the amount of expenses and profit share allocation assessed to an individual partner's capital account may vary from these ratios based on the timing of capital transactions and differences in individual partners' management fee, selling commission, platform fee and profit share allocation arrangements. Returns are calculated based on 1) a Limited Partner that is charged a monthly management fee of 1/12 of 1.75% (1.75% per annum) and 20% of Trading Profits and 2) Limited Partners' capital taken as a whole. An individual partner's returns may vary from these returns based on the timing of capital transactions and differences in individual partners' management fee, selling commission, platform fee and profit share allocation arrangements.

7. SUBSEQUENT EVENTS

The General Partner has performed its evaluation of subsequent events from October 1, 2024 to November 13, 2024, the date this Form 10-Q was filed. Based on such evaluation, no events were discovered that required disclosure or adjustment to the 10-Q.

ITEM 2. MANAGEMENT'S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF OPERATIONS

Reference is made to Item 1, "Financial Statements." The information contained therein is essential to, and should be read in connection with, the following analysis.

OPERATIONAL OVERVIEW

The Partnership invests substantially all of its assets in the Master Fund. Due to the nature of the Master Fund's business, its results of operations depend on the General Partner's ability to recognize and capitalize on trends and other profit opportunities in different sectors of the global capital and commodity markets. The General Partner's investment and trading methods are confidential so that substantially the only information that can be furnished regarding the Master Fund's results of operations is contained in the performance record of its trading. Unlike operating businesses, general economic or seasonal conditions do not directly affect the profit potential of the Master Fund, and its past performance is not necessarily indicative of future results. The General Partner believes, however, that there are certain market conditions, for example, markets with strong price trends, in which the Master Fund has a better likelihood of being profitable than in others.

LIQUIDITY AND CAPITAL RESOURCES

Units may be offered for sale as of the beginning, and may be redeemed as of the end, of each month.

33

The amount of capital raised for the Partnership should not have a significant impact on its operations, as the Partnership and the Master Fund have no significant capital expenditure or working capital requirements other than for monies to pay trading losses, brokerage commissions and charges. Within broad ranges of capitalization, the General Partner's trading positions should increase or decrease in approximate proportion to the size of the Master Fund (in which the Partnership participates).

The Partnership raises additional capital only through the sale of Units and capital is increased through trading profits (if any). Neither the Partnership nor the Master Fund engages in borrowing.

The Master Fund trades futures, forward, and spot contracts on interest rate instruments, agricultural commodities, currencies, metals, energy and stock indices, and forward contracts on currencies, and may trade options on the foregoing and swaps thereon. Risk arises from changes in the value of these contracts (market risk) and the potential inability of counterparties or brokers to perform under the terms of their contracts (credit risk). Market risk is generally measured by the face amount of the futures positions acquired and the volatility of the markets traded. The credit risk from counterparty non-performance associated with these instruments is the net unrealized gain, if any, on these positions plus the value of the margin or collateral held by the counterparty. The risks associated with exchange-traded contracts are generally perceived to be less than those associated with OTC transactions because exchanges typically (but not universally) provide clearinghouse arrangements in which the collective credit (in some cases limited in amount, in some cases not) of the members of the exchange is pledged to support the financial integrity of the exchange. In most OTC transactions, on the other hand, traders must rely (typically but not universally) solely on the credit of their respective individual counterparties. Margins which may be subject to loss in the event of a default are generally required in exchange trading and counterparties may require margin or collateral in the OTC markets.

The General Partner has procedures in place to control market risk, although there can be no assurance that they will, in fact, succeed in doing so. These procedures primarily focus on (1) real time monitoring of open positions; (2) diversifying positions among various markets; (3) limiting the assets committed as margin or collateral, generally within a range of 5% to 35% of an account's net assets, though the amount may at any time be substantially higher; and (4) prohibiting pyramiding (that is, using unrealized profits in a particular market as margin for additional positions in the same market). The General Partner attempts to control credit risk by causing the Partnership and the Master Fund to deal exclusively with large, well-capitalized financial institutions as brokers and counterparties.

The financial instruments traded by the Master Fund contain varying degrees of off-balance sheet risk whereby changes in the market values of the futures, forward and spot contracts or the Master Fund's satisfaction of the obligations may exceed the amount recognized in the Statements of Financial Condition of the Master Fund.

Due to the nature of the Master Fund's business, substantially all its assets are represented by cash, cash equivalents and U.S. government obligations, while the Master Fund maintains its market exposure through open futures, forward and spot contract positions.

The Master Fund's futures contracts are settled by offset and are cleared by the exchange clearinghouse function. Open futures positions are marked-to-market each trading day and the Master Fund's trading accounts are debited or credited accordingly. Options on futures contracts are settled either by offset or by exercise. If an option on a future is exercised, the Master Fund is assigned a position in the underlying future which is then settled by offset. The Master Fund's spot and forward currency transactions conducted in the interbank market are settled by netting offsetting positions or payment obligations and by cash payments.

The value of the Master Fund's cash and financial instruments is not materially affected by inflation. Changes in interest rates, which are often associated with inflation, could cause the value of certain of the Master Fund's debt securities to decline, but only to a limited extent. More importantly, changes in interest rates could cause periods of strong up or down market price trends, during which the Master Fund's profit potential generally increases. However, inflation can also give rise to markets which have numerous short price trends followed by rapid reversals, markets in which the Master Fund is likely to suffer losses.

The Master Fund's assets are generally held as cash or cash equivalents, including U.S. government securities or securities issued by federal agencies, other Commodity Futures Trading Commission-authorized investments or bank held or certain other money market instruments (e.g., bankers acceptances and Eurodollar or other time deposits), which are used to margin the Master Fund's futures, forward, and spot currency positions and withdrawn, as necessary, to pay redemptions and expenses. Other than potential market-imposed limitations on liquidity, due, for example, to limited open interest in certain futures markets or to daily price fluctuation limits, which are inherent in the Master Fund's futures, forward and spot trading, the Master Fund's assets are highly liquid and are expected to remain so. During its operations through September 30, 2024, the Partnership, through its investment in the Master Fund, experienced no meaningful periods of illiquidity in any of the numerous markets traded by the General Partner.

CRITICAL ACCOUNTING ESTIMATES

The Master Fund records its transactions in futures, forward and spot contracts, including related income and expenses, on a trade date basis. Open futures contracts traded on an exchange are valued at fair value, which is based on the closing settlement price on the exchange where the futures contract is traded by the Master Fund on the day with respect to which net assets are being determined. Open spot currency contracts are valued based on the current Spot Price. Open forward currency contracts are recorded at fair value, based on pricing models that consider the Spot Price and Forward Point. Spot Prices and Forward Points for open forward currency contracts are generally based on the median of the average midpoint of bid/ask quotations at the last minute ending at 3:00 P.M. New York time provided by widely used quotation service

34

providers on the day with respect to which net assets are being determined. Forward Points from the quotation service providers are generally in periods of one month, two months, three months, six months, nine months and twelve months forward while the contractual forward delivery dates for the forward currency contracts traded by the Partnership may be in between these periods. The General Partner's policy to determine fair value for forward currency contracts involves first calculating the number of Months to Maturity, then identifying the Forward Month Contracts. Linear interpolation is then performed between the dates of these two Forward Month Contracts to calculate the interpolated Forward Point. The General Partner will also compare the calculated price to the forward currency prices provided by dealers to determine whether the calculated price is fair and reasonable.

The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions, such as accrual of expenses, that affect the amounts and disclosures reported in the financial statements. Based on the nature of the business and operations of the Partnership, the General Partner believes that the estimates utilized in preparing the Partnership's financial statements are appropriate and reasonable, however actual results could differ from these estimates. The estimates used do not provide a range of possible results that would require the exercise of subjective judgment. The General Partner further believes that, based on the nature of the business and operations of the Partnership, no other reasonable assumptions relating to the application of the Partnership's critical accounting estimates other than those currently used would likely result in materially different amounts from those reported.

RESULTS OF OPERATIONS

Due to the nature of the Partnership's trading, through its investment in the Master Fund, the results of operations for the interim periods presented should not be considered indicative of the results that may be expected for the entire year.

Periods ended September 30, 2024

Total

Partners'

Capital of the

Month Ended:

Partnership

September 30, 2024

$

117,962,014

June 30, 2024

129,550,099

December 31, 2023

123,929,777

Three Months

Nine Months

Change in Partners' Capital

$

(11,588,085)

$

(5,967,763)

Percent Change

(8.94)

%

(4.82)

%

THREE MONTHS ENDED SEPTEMBER 30, 2024

The decrease in the Partnership's net assets of $11,588,085 was attributable to net loss after profit share of $10,269,036 and withdrawals of $1,541,218 which were partially offset by contributions of $222,169.

The Partnership, through its investment in the Master Fund, bears all trade-related commission and clearing charges due to third-party brokers. Brokerage commissions, through the Partnership's investment in the Master Fund, for the three months ended September 30, 2024 decreased $1,527 relative to the corresponding period in 2023. The decrease was due to a decrease in the average net asset value of the Partnership during the three months ended September 30, 2024, relative to the corresponding period in 2023.

Management fees, through the Partnership's investment in the Master Fund, are calculated on the net asset value of the Partnership on the last day of each month and are affected by trading performance, contributions and withdrawals. Management fees, through the Partnership's investment in the Master Fund, for the three months ended September 30, 2024 decreased $52,952 relative to the corresponding period in 2023. The decrease was due to a decrease in the average net asset value of management fee paying investors of the Partnership during the three months ended September 30, 2024, relative to the corresponding period in 2023.

Selling commissions and platform fees are calculated on the net asset value on the last day of each month and are affected by trading performance, contributions and withdrawals. Selling commissions and platform fees for the three months ended September 30, 2024 decreased $57,671 relative to the corresponding period in 2023. The decrease was due predominantly to a decrease in the average net asset value of commission paying investors of the Partnership during the three months ended September 30, 2024, relative to the corresponding period in 2023.

35

The Partnership, through its investment in the Master Fund, pays administrative expenses for legal, audit and accounting services. Administrative expenses, net of amounts borne by the General Partner, through the Partnership's investment in the Master Fund, for the three months ended September 30, 2024 decreased $26,699 relative to the corresponding period in 2023. The decrease was due to a decrease in the average net asset value of the Partnership during the three months ended September 30, 2024, relative to the corresponding period in 2023.

Interest income, through the Partnership's investment in the Master Fund, is derived from cash and U.S. Treasury instruments held at the Master Fund's brokers and custodian. Interest income, through the Partnership's investment in the Master Fund, for the three months ended September 30, 2024 decreased $4,488 relative to the corresponding period in 2023. The decrease was due to a decrease in the average net asset value of the Partnership partially offset by an increase in short-term U.S. treasury yields during the three months ended September 30, 2024, relative to the corresponding period in 2023.

For the three months ended September 30, 2024, the Partnership, through its investment in the Master Fund, achieved net realized and unrealized losses of $11,374,369 from trading operations (including foreign exchange transactions and translations). Management fees of $518,556, brokerage commissions of $126,475, selling commissions and platform fees of $518,327, administrative and operating expenses of $133,794, custody fees and other expenses of $5,478 were incurred. Interest income of $1,571,136 and the reversal of accrued profit share to the General Partner of $836,827 offset the Master Fund expenses allocated to the Partnership resulting in net loss after profit share of $10,269,036.

An analysis of the Master Fund's trading gain (loss) by sector is as follows:

% Gain

Sector

(Loss)

Currencies

(3.53)

%

Energies

(3.48)

%

Grains

(0.38)

%

Interest rates

(2.60)

%

Livestock

(0.03)

%

Metals

0.59

%

Softs

0.13

%

Stock indices

0.69

%

Trading loss*

(8.61)

%

* Percentage of the Partnership Capital. Currencies include a 0.38% gain related to currency hedging allocated at the Master Fund level solely to the Cayman Feeder's Class GBP Shares.

NINE MONTHS ENDED SEPTEMBER 30, 2024

The decrease in the Partnership's net assets of $5,967,763 was attributable to withdrawals of $10,363,746 which were partially offset by net income after profit share of $4,003,322 and contributions of $392,661.

The Partnership, through its investment in the Master Fund, bears all trade-related commission and clearing charges due to third-party brokers. Brokerage commissions, through the Partnership's investment in the Master Fund, for the nine months ended September 30, 2024 increased $17,186 relative to the corresponding period in 2023. The increase was due mostly to an increase in trading volume during the nine months ended September 30, 2024, relative to the corresponding period in 2023.

Management fees, through the Partnership's investment in the Master Fund, are calculated on the net asset value of the Partnership on the last day of each month and are affected by trading performance, contributions and withdrawals. Management fees, through the Partnership's investment in the Master Fund, for the nine months ended September 30, 2024 decreased $72,525 relative to the corresponding period in 2023. The decrease was due to a decrease in the average net asset value of the management fee paying investors of the Partnership during the nine months ended September 30, 2024, relative to the corresponding period in 2023.

Selling commissions and platform fees are calculated on the net asset value on the last day of each month and are affected by trading performance, contributions and withdrawals. Selling commissions and platform fees for the nine months ended September 30, 2024 decreased $68,062 relative to the corresponding period in 2023. The decrease was due predominantly to a decrease in the average net asset value of commission paying investors of the Partnership during the nine months ended September 30, 2024, relative to the corresponding period in 2023.

36

The Partnership, through its investment in the Master Fund, pays administrative expenses for legal, audit and accounting services. Administrative expenses, net of amounts borne by the General Partner, through the Partnership's investment in the Master Fund, for the nine months ended September 30, 2024 decreased $27,815 relative to the corresponding period in 2023. The decrease was due to a decrease in the average net asset value of the Partnership during the nine months ended September 30, 2024, relative to the corresponding period in 2023.

Interest income, through the Partnership's investment in the Master Fund, is derived from cash and U.S. Treasury instruments held at the Master Fund's brokers and custodian. Interest income, through the Partnership's investment in the Master Fund, for the nine months ended September 30, 2024 increased $781,737 relative to the corresponding period in 2023. The increase was due predominantly to an increase in short-term U.S. Treasury yields during the nine months ended September 30, 2024, relative to the corresponding period in 2023.

For the nine months ended September 30, 2024, the Partnership, through its investment in the Master Fund, achieved net realized and unrealized gains of $3,248,914 from trading operations (including foreign exchange transactions and translations). Management fees of $1,644,770, brokerage commissions of $416,040, selling commissions and platform fees of $1,650,851, administrative and operating expenses of $381,605, custody fees and other expenses of $17,395, and profit share of $36,135. Interest income of $4,901,204 offset the Master Fund expenses allocated to the Partnership resulting in net income after profit share of $4,003,322.

An analysis of the Master Fund's trading gain (loss) by sector is as follows:

% Gain

Sector

(Loss)

Currencies

(1.33)

%

Energies

(1.56)

%

Grains

0.74

%

Interest rates

2.94

%

Livestock

(0.13)

%

Metals

(0.59)

%

Softs

(0.32)

%

Stock indices

2.75

%

Trading gain*

2.50

%

* Percentage of the Partnership Capital. Currencies include a 0.34% gain related to currency hedging allocated at the Master Fund level solely to the Cayman Feeder's Class GBP Shares.

MANAGEMENT DISCUSSION - 2024

Three months ended September 30, 2024

The Partnership was unprofitable during the quarter as losses from trading energy and interest rate futures and currency forwards far outpaced paced small gains from trading non-energy futures and stock index futures.

Global market interest rates fell and yield curves steepened during the quarter as market participants reacted to actual and anticipated reductions in official interest rates among major developed market central banks in response to, among other things, moderating inflation, growth and employment statistics. For example, the policy-sensitive U.S. two-year Treasury note fell from 4.77% at the start of July to about 3.5% in September. Consequently, short positions in U.S., German, French and British note and bond futures were unprofitable, especially during July. Meanwhile, long positions in U.S. and European short-term interest rate futures generated partially offsetting profits. Trading of the Japanese government bond future and a long position in the Italian 10-year bond were also somewhat profitable.

Declining interest rates seemingly weighed on the U.S. dollar and long dollar trades against the Japanese yen, euro, Swiss franc, Brazilian real, pound sterling and Australian, Canadian and New Zealand dollars were unprofitable. A long position in the high-yield Mexican peso was also unprofitable partly resulting from political turbulence and weakening growth in Mexico.

Energy prices fell during the quarter. For example, Brent crude oil, after reaching $87.50/barrel in early July, dropped below $70/barrel in early September before closing the quarter at about $71/barrel. Deflation in China, sluggish growth in Europe, and moderating growth in the U.S., particularly in the manufacturing sectors, seemed to weigh on energy demand. The continued transition toward EV's, although slowing somewhat recently, also may have dented demand. At the same time, non-Organization of the Petroleum Exporting Countries ("OPEC+") supplies continued to grow and OPEC+ struggled to maintain production and export constraints on all its members. In fact, late in the quarter, top producer and exporter Saudi Arabia indicated that it was dropping its unofficial price target and readying to increase production and seek a greater market share. Even broad easing of monetary policies globally and surprise monetary and fiscal policy support measures from China appear to have failed to give energy prices much support. As a result, long Brent and WTI crude oil positions and trading of RBOB gasoline, London gas oil and TTF natural gas futures were unprofitable.

37

Declining interest rates and optimism around artificial intelligence helped to underpin equities during the quarter, while concerns about high valuations, softening U.S. growth, stagnation in Europe, deflation in China and wars in the Middle East and Europe aided in restraining the price gains. Late in the quarter, surprise monetary and fiscal policy support measures from China that were intended to stimulate economic activity, boost financial markets and stabilize property markets together with indications that OPEC+ soon would boost production significantly, provided some additional support to equities.Results were mixed but positive overall for the quarter. Short positions in Chinese equity futures were profitable early in the period amidst a continuing grim economic outlook, but then long positions in these same futures were profitable late in September after the surprise stimulus moves by Chinese authorities. Long positions in Taiwanese, Korean, Spanish, Italian and Brazilian index futures, trading of British and U.S. NASDAQ and S&P futures and a short emerging markets index futures trade were also profitable. On the other hand, short volatility, South African and EURO STOXX equity index futures positions and trading of U.S. Russell and mid-cap equity index futures posted partially offsetting losses.

Within non-energy commodities, early in the quarter, short silver and platinum positions were profitable as prices declined amid a negative industrial outlook and persistent demand concerns in top consumer China. Furthermore, the increasing share of new energy vehicles in major global auto markets contributed to a decreased demand for platinum in catalytic converters for internal combustion engines, also pressuring prices. Subsequently, actual and anticipated interest rate declines, especially after the Federal Reserves' larger than anticipated 50 basis point reduction in the Federal funds rate, together with China's unexpected monetary and fiscal stimulus measures, helped boost metal prices broadly. A surge in Indian gold imports following a tax reduction added to demand for this precious metal. Consequently, long gold and platinum positions were profitable. Adverse weather conditions in Brazil and Vietnam and rising shipping costs have assisted in pushing global coffee prices to record highs, producing profits on long Arabica coffee positions. Meanwhile, Grain prices, which have been falling for much of the past year, rebounded in September driven partly by supply risks, including uncertainty around Brazilian planting conditions, disappointing crop outlooks in Europe and Australia, and concerns over poor harvests in the U.S. Plains resulting from dry conditions and in the Black Sea region due to geopolitical difficulties. Hence, short positions in soybeans, soybean oil and soybean meal were unprofitable for the quarter.

Three months ended June 30, 2024

The Partnership was profitable during the quarter as gains from trading financial futures, especially in April, grain futures and soft commodity futures outdistanced the losses from trading energy and metal futures. Trading of livestock futures was marginally negative too.

Interest rates were volatile throughout the quarter, which seemed to reflect the variability of economic data. The U.S. ten-year treasury note vacillated in a 4.2% to 4.7% range. When data evidenced moderating inflation, wages, growth and employment, interest rates appeared to decline. On the other hand, as data indicated sticky inflation and wages, and strong growth and labor markets, interest rates appeared to rise. Major global central banks continued to stress that the peak in rates had probably been reached, but that cuts required more certainty about the paths of inflation and growth. During the quarter, the European Central Bank, Bank of Canada, Swiss National Bank, Swedish Riksbank and Danish National Bank each lowered official interest rates by ¼ of a percentage point. Meanwhile, the Federal Reserve ("Fed") and Bank of England continued to hold off on cutting rates likely due to apparent concern about "sticky" inflation and wages, and analysts seems to suggest that the Reserve Bank of Australia might raise official interest rates in coming months after recent inflation data surprised to the upside. Meanwhile, concerns about government deficits and debt/GDP levels globally continues to cloud the interest rate outlook. On balance, interest rates increased during the quarter and short positions in U.S., German, French and Australian interest rate futures were profitable, especially in April.

Currency markets were also volatile during the quarter, but favorable U.S. interest rate differentials, European political uncertainties, particularly in France and the U.K. and fiscal policy worries around Mexico and Latin America seemed to help underpin the U.S. dollar. Long U.S. dollar positions versus the Japanese yen, Swiss franc, pound sterling, Korean won, South African rand and Canadian dollar were profitable. On the other hand, a long position in the high-yield Mexican peso was unprofitable following the Mexican presidential election. Long U.S. dollar trades against the Norwegian, Swedish, Singaporean and Australian currencies also produced partially offsetting losses during May when the U.S. dollar weakened along with U.S. interest rates.

Equity markets were volatile during the quarter and trading of global equity futures was mixed but profitable. Changing inflation and growth dynamics across countries and regions, uncertainty concerning the outlook for monetary policy among major developed market central banks, and bifurcation of performance and valuations across markets and individual stocks, especially as related to artificial intelligence phenomena, confronted market participants. A modest improvement in the growth outlook for Europe combined with attractive equity market valuations helped lead to profits in long positions in European equity index futures. Trading of U.S., Chinese and Taiwanese stock index futures was also quite profitable. A short Brazilian Bovespa position was also profitable, which seemed to reflect market participants concerns about the government's commitment to fiscal policy consolidation and, hence, the central bank's ability to lower official interest rates further. A short vix volatility index futures trade was profitable too. On the other hand, trading of Japanese, Indian and Korean stock index futures registered partially offsetting losses.

Grain prices were volatile during the quarter as difficult weather conditions globally seemed to muddle the supply outlooks in many markets. Early in the quarter, worries about supply disruptions from bad weather in Russia, Brazil and the U.S. likely helped to push up grain prices to their highest levels in nearly half a year and a long soybean position was slightly profitable. During the latter half of the quarter, however, favorable reports about U.S. wheat production seemed to confront news about the production decreases in Russia, Ukraine, and the EU and

38

wheat prices declined. Consequently, short wheat positions were broadly profitable. Short positions in corn futures were also profitable as it appears prices fell once USDA forecasts indicated that U.S. corn inventories could hit a six-year peak by September 2025.

Early in the quarter, a long Arabica coffee futures position was profitable as prices remained elevated seemingly due to concerns over potential rain damage to coffee crops in Brazil. Sugar prices declined in April and May due in part to apparent expectations of robust supply from Brazil, the leading exporter globally. This better supply outlook for Brazil appears to have helped offset concerns about shortages in Asia, particularly in countries like India and Thailand. Consequently, a short sugar futures trade was profitable in April and May, although some price recovery in June reduced the overall quarterly profit. Meanwhile, trading of cotton futures was slightly unprofitable.

Energy prices were volatile throughout the quarter while edging lower on balance. Geopolitical frictions in the Middle East appear to continue to underpin energy prices, while demand-side uncertainties and increasing supply from non Organization of the Petroleum Exporting Countries

("OPEC+") sources seem to pressure prices lower. Overall, trading of RBOB gasoline, London gas oil, heating oil and WTI crude oil were

unprofitable. A short carbon emissions trade was also unprofitable. On the other hand, trading of Brent crude produced a partially offsetting

gain.

Silver prices jumped sharply during April and May, rising to their highest levels in 11 years. An expanding solar power industry is helping to drive a growth in industrial demand for silver. Safe haven demand for precious metals and expectations of interest rate cuts by major central banks later this year also appear to have helped support the price advance. Consequently, a short silver trade was unprofitable, although the loss was scaled back somewhat when prices eased back in June as growing uncertainty on the outlook for US Federal Reserve interest rate cuts and signs of softening industrial demand, especially from top silver consumer China, likely weighed on metal prices. Elsewhere, short NYMEX copper and London aluminum futures trades were unprofitable as U.S. and U.K. sanctions that ban the trading of new Russian metals supplies, worries about the long-term availability of metals needed for the energy transition, concerns about short-term metal supplies due to several mine closures and emerging signs of improving growth in Europe seem to push metal prices higher.

Three months ended March 31, 2024

The Partnership was profitable during the quarter as gains from trading interest rate futures, energy futures, currency forwards and grain futures outdistanced losses from trading soft commodity and metals futures. Trading of equity futures was nearly flat.

Financial and commodity market prices vacillated during the quarter as market participants reacted to impacts of uncertainty about the timing and pace of expected central bank interest rate cuts, disparate regional growth and inflation outlooks and the influence of developments surrounding the use of artificial intelligence (AI).

Interest rates were volatile during the quarter. They rose broadly as developed market central banks, led by the Federal Reserve ("Fed"), pushed back against market expectations of early and official interest rate cuts. Concerns about "sticky" inflation and strong wage data and labor markets seemingly helped support this higher-for-longer interest rate narrative. However, interest rates did ease a bit during March as developed market central banks, following recent meetings, seemed more willing to take longer to return to their target inflation levels than had previously been the case to avoid a hard growth landing. Overall, short positions in medium- and long-term U.S. and German note and bond futures were broadly profitable. A short position in the U.S. short-term interest rate future was also profitable. On the other hand, during January, long positions in British, U.S. and European short-term interest rate futures, and in Italian short-term and long-term interest rate futures, registered partially offsetting losses. A short position in the Japanese government bond future was also slightly unprofitable as the Bank of Japan executed a "dovish" end to its zero-interest rate and yield curve control policies.

Relative strength in U.S. growth, equity markets and interest rate differentials seemingly helped buoy the U.S. dollar. Long U.S. dollar positions versus the Japanese, Swiss, New Zealand, Canadian and Australian currencies were profitable. Elsewhere, a short U.S. dollar trade against the euro in January and trading the U.S. dollar relative to the Brazilian real and Singapore dollar produced partially offsetting losses.

Energy prices rose during the quarter as Middle East tensions, including a drone attack by Iran-backed militants that killed U.S. troops in Jordan and an expansion of Houthi missile strikes in the Red Sea on a Trafigura-operated fuel tanker carrying Russian products, stoked fears of supply disruptions. The continuation of production cuts by Organization of the Petroleum Exporting Countries ("OPEC+") and Ukrainian attacks on Russian oil refineries also likely contributed to supply worries. On the demand side, stronger-than-expected US economic data and fresh stimulus in China seemed to strengthen the outlook in two of the world's largest oil consumers. In this environment, long positions in Brent crude, WTI crude, RBOB gasoline, London gasoil and heating oil were profitable. A short carbon emissions trade was also profitable as the recent slowdown in the electric vehicle market weighed on demand for emission credits.

Ample supplies of grain from South America, Russia, Ukraine and the U.S. likely impacted prices and short wheat and soybean positions were profitable, especially early in the quarter. In March, amid reports of destructive rain and hail across crucial grain-producing regions in Argentina supporting soybean prices, a long soybean trade was profitable.

Sugar prices, following a sharp drop late last year, rebounded in January amid concerns about hot weather damaging crops in southeast Asia, particularly in India and New Delhi extended its export ban. A short sugar trade was unprofitable as prices rose. Cocoa prices rallied to an historic high as weather and disease afflicted cocoa trees in the world's main growing regions in West Africa, raising supply concerns. A short cocoa trade was unprofitable. Trading of coffee and cotton were also slightly unprofitable.

39

Silver prices were buoyed amid expectations that developed market central banks would embark on an interest rate easing cycle. Indeed, the Swiss National Bank announced a quarter point cut in its official interest rate in March. Consequently, a short silver trade was unprofitable. Trading of gold, platinum and zinc also posted small losses.

Trading of stock index futures was mixed and flat during the quarter. Improving growth, inflation and corporate earnings outlooks in Japan seemingly contributed to strong profits on long Japanese equity index futures positions. A long Spanish IBEX equity futures position and a short Brazilian equity index futures trade were also profitable. On the other hand, in the U.S., where AI optimism, growth and central bank rate cut prospects seemed to support equities, losses on short positions in Russell, MIDCAP 400 and Dow Jones index futures outdistanced profits from trading the NASDAQ index futures. Short positions in European, Singaporean and emerging market equity index futures, a long Korean index futures position, and trading of Australian and Canadian index futures registered offsetting losses too.

Periods ended September 30, 2023

Total

Partners'

Capital of the

Month Ended:

Partnership

September 30, 2023

$

139,823,140

June 30, 2023

128,967,947

December 31, 2022

143,276,896

Three Months

Nine Months

Change in Partners' Capital

$

10,855,193

$

(3,453,756)

Percent Change

8.42

%

(2.41)

%

THREE MONTHS ENDED SEPTEMBER 30, 2023

The increase in the Partnership's net assets of $10,855,193 was attributable to net income after profit share through its investment in the Master Fund of $12,849,289 and contributions of $43,936 which was offset by withdrawals of $2,038,032.

Management fees, through the Partnership's investment in the Master Fund, are calculated on the net asset value on the last day of each month and are affected by trading performance, contributions and withdrawals. Management fees, through the Partnership's investment in the Master Fund, for the three months ended September 30, 2023 decreased $40,424 relative to the corresponding period in 2022. The decrease was due predominantly to a decrease in the average net asset value of Series D during the three months ended September 30, 2023, relative to the corresponding period in 2022.

The Partnership, through its investment in the Master Fund, bears all trade-related commission and clearing charges due to third-party brokers. Brokerage commissions, through the Partnership's investment in the Master Fund, for the three months ended September 30, 2023 decreased $8,205 relative to the corresponding period in 2022. The decrease was due to lower trading volume during the three months ended September 30, 2023, relative to the corresponding period in 2022.

Selling commissions and platform fees are calculated on the net asset value on the last day of each month and are affected by trading performance, contributions and withdrawals. Selling commissions and platform fees for the three months ended September 30, 2023 decreased $31,575 relative to the corresponding period in 2022. The decrease was due predominantly to a decrease in the average net asset value of Series D during the three months ended September 30, 2023, relative to the corresponding period in 2022.

The Partnership, through its investment in the Master Fund, pays administrative expenses for legal, audit and accounting services. Administrative expenses, net of amounts borne by the General Partner, through the Partnership's investment in the Master Fund, for the three months ended September 30, 2023 increased $18,569 relative to the corresponding period in 2022. The increase was due predominantly to an increase in legal costs during the three months ended September 30, 2023, relative to the corresponding period in 2022.

Interest income, through the Partnership's investment in the Master Fund, is derived from cash and U.S. Treasury instruments held at the Master Fund's brokers and custodian. Interest income, through the Partnership's investment in the Master Fund, for the three months ended September 30, 2023 increased $997,259 relative to the corresponding period in 2022. The increase was due to an increase in short-term U.S. Treasury yields during the three months ended September 30, 2023, relative to the corresponding period in 2022.

For the three months ended September 30, 2023, the Partnership, through its investment in the Master Fund, achieved net realized and unrealized gains of $13,802,257 from trading operations (including foreign exchange transactions and translations). Management fees of $571,508,

40

brokerage commissions of $128,022, selling commissions and platform fees of $575,998, administrative and operating expenses of $160,493, custody fees and other expenses of $5,908 and profit share of $1,088,761 was paid or accrued. Interest income of $1,577,722 offset the Master Fund expenses allocated to the Partnership resulting in net income after profit share of $12,849,289.

An analysis of the Master Fund's trading gain (loss) by sector is as follows:

% Gain

Sector

(Loss)

Currencies

(0.20)

%

Energies

5.18

%

Grains

0.32

%

Interest rates

5.35

%

Livestock

0.01

%

Metals

0.81

%

Softs

(0.04)

%

Stock indices

(0.74)

%

Trading gain*

10.69

%

* Percentage of the Partnership Capital

NINE MONTHS ENDED SEPTEMBER 30, 2023

The decrease in the Partnership's net assets of $3,453,756 was attributable to withdrawals of $8,666,044 which was partially offset by net income after profit share through its investment in the Master Fund of $4,061,286 and contributions of $1,151,002.

Management fees, through the Partnership's investment in the Master Fund, are calculated on the net asset value on the last day of each month and are affected by trading performance, contributions and withdrawals. Management fees, through the Partnership's investment in the Master Fund, for the nine months ended September 30, 2023 decreased $40,445 relative to the corresponding period in 2022. The decrease was due predominantly to a decrease in the average net asset value of Series D during the nine months ended September 30, 2023, relative to the corresponding period in 2022.

The Partnership, through its investment in the Master Fund, bears all trade-related commission and clearing charges due to third-party brokers. Brokerage commissions, through the Partnership's investment in the Master Fund, for the nine months ended September 30, 2023 decreased $60,850 relative to the corresponding period in 2022. The decrease was due to lower trading volume during the nine months ended September 30, 2023, relative to the corresponding period in 2022.

Selling commissions and platform fees are calculated on the net asset value on the last day of each month and are affected by trading performance, contributions and withdrawals. Selling commissions and platform fees for the nine months ended September 30, 2023 decreased $31,339 relative to the corresponding period in 2022. The decrease was due predominantly to a decrease in the average net asset value of Series D during the nine months ended September 30, 2023, relative to the corresponding period in 2022.

The Partnership, through its investment in the Master Fund, pays administrative expenses for legal, audit and accounting services. Administrative expenses, net of amounts borne by the General Partner, through the Partnership's investment in the Master Fund, for the nine months ended September 30, 2023 increased $10,585 relative to the corresponding period in 2022. The increase was due predominantly to an increase in legal costs during the nine months ended September 30, 2023, relative to the corresponding period in 2022.

Interest income, through the Partnership's investment in the Master Fund, is derived from cash and U.S. Treasury instruments held at the Master Fund's brokers and custodian. Interest income, through the Partnership's investment in the Master Fund, for the nine months ended September 30, 2023 increased $3,154,791 relative to the corresponding period in 2022. The increase was due to an increase in short-term U.S. Treasury yields during the nine months ended September 30, 2023, relative to the corresponding period in 2022.

For the nine months ended September 30, 2023, the Partnership, through its investment in the Master Fund, achieved net realized and unrealized gains of $5,290,893 from trading operations (including foreign exchange transactions and translations). Management fees of $1,717,295, brokerage commissions of $398,854, selling commissions and platform fees of $1,718,913, administrative and operating expenses of $409,420, custody fees and other expenses of $17,948 and a profit share of $1,088,761 was paid or accrued. Interest income of $4,121,584 partially offset the Master Fund expenses allocated to the Partnership resulting in net income after profit share of $4,061,286.

41

An analysis of the Master Fund's trading gain (loss) by sector is as follows:

% Gain

Sector

(Loss)

Currencies

1.07

%

Energies

(0.50)

%

Grains

0.12

%

Interest rates

2.11

%

Livestock

0.05

%

Metals

0.88

%

Softs

0.04

%

Stock indices

0.51

%

Trading gain*

4.28

%

* Percentage of the Partnership Capital

MANAGEMENT DISCUSSION - 2023

Three months ended September 30, 2023

The Partnership was profitable during the quarter predominantly due to sizable gains from long energy futures positions and short interest rate futures positions Elsewhere, the profit from trading non-energy commodity futures was largely offset by the loss from trading equity index futures. Currency trading was mixed and flat for the quarter.

Crude oil prices, underpinned by tightening global supplies and optimism about Chinese demand for refining, advanced sharply during the quarter, with Brent crude climbing from around $75/barrel at the start of July to about $93/barrel at end September. Voluntary output cuts by Saudi Arabia and Russia that were extended to yearend 2023 tightened the supply outlook and drained inventories, and OPEC+ indicated a willingness to take further action to support the oil market if needed. Hence, long Brent crude and WTI crude positions were profitable. A long heating oil position was profitable as prices were buoyed by seasonal pre-winter demand for inventory building. A long London gas oil trade was profitable as solid industrial and transportation demand underpinned distillate prices, particularly after Russia announced a diesel export ban in late September.

Developed market central banks, led by the Federal Reserve, continued to raise official interest rates during the quarter, and even when pauses in hiking cycles did occur they were viewed as hawkish since they included strong indications that developed markets central banks will keep interest rates higher for longer to get inflation under control, particularly in the face of sharp increases in energy prices and rising fiscal needs in the U.S. and Europe. Adjustments to Japan's yield curve control program also underpinned higher interest rates globally during the quarter.

On the other hand, signs of easing inflation in the U.S. and Eurozone on the last trading day of September did reduce the quarter's interest rate increases somewhat as some position squaring occurred at quarter-end. Still, short positions in U.S., German, French, Italian and Canadian interest rate futures were highly profitable. On the other hand, a short position in short-term British interest rate futures was unprofitable, particularly after the Bank of England announced a dovish pause. Trading of Japanese government bonds was slightly unprofitable too.

Rising interest rates, a stronger dollar and weak growth in China and Europe weighed on metal prices, and short gold and silver positions were profitable, especially during August and September.

Short wheat, corn and soybean positions were profitable, especially in August and September when prices declined in response to improved supplies from Russia and the U.S. and reduced demand from China and Europe. Meanwhile, a long soybean oil trade generated a small partially offsetting loss.

Persistent hawkish messaging from the Federal Reserve and a better economic outlook for the U.S. versus Europe, China and South America buoyed the U.S. dollar during the quarter. Consequently, long U.S. dollar positions versus the Japanese yen, Korean won, Singapore dollar, Aussie dollar, New Zealand dollar, Swiss franc, Norwegian krone and South African rand were profitable. On the other hand, short U.S. dollar trades against the euro, Swedish krona, and high yielding Brazilian, Indian and Polish currencies produced offsetting losses.

Equity markets were volatile during the quarter, rising during July and then declining in fraught trading during August and September. Following the sustained gains in equity markets during the first seven months of 2023, high and rising interest rates and worries about growth dynamics in China and Europe weighed on equity prices. In addition, by September, concerns about the UAW strike, a potential U.S. government shutdown, oil price increases and resumption of student loan payments dampened the U.S. economic outlook as well. On balance, trading of European stock index futures was unprofitable. A long Japanese equity index future position was also unprofitable. On the other hand, a long Singaporean equity index future position was profitable in July and provided a partial offset.

42

Three months ended June 30, 2023

The Partnership was profitable during the quarter as gains from trading financial futures and currency forwards outpaced losses from trading energy futures. Trading of non-energy commodity futures was nearly flat.

Diverging narratives concerning the future paths of growth, inflation and monetary policy within and across various economic regions, including the U.S., Europe, China, and Asia (excluding China), and the bifurcation between weakening manufacturing and booming service sectors globally contributed to rattled financial and commodity markets during most of the quarter. U.S. regional banking stresses, political discussions around the U.S. debt ceiling, a late June spike of hawkish activity by global central banks and the attempted coup by the Wagner Group in Russia also contributed to market turmoil.

Interest rate volatility remained elevated during the quarter as persistent global inflation leant support to increased rates while concerns about slowing growth and/or a recession weakened the push for rate increases. Market participants expressed some uncertainty about how central banks would respond to strong inflation, labor markets and consumer spending in the U.S. and Europe, juxtaposed against weaker than expected growth in China and slowing manufacturing globally. Developed market central banks enacted higher official interest rates and more hawkish policy. Consequently, interest rates rose and short positions in U.S., European, British, Canadian and Australian interest rate futures, particularly shorter-term futures, were quite profitable. On the other hand, short positions in French, Italian and German longer-term interest rate futures posted small partially offsetting losses.

Stocks were unsettled with widely divergent results by region, sector and individual security during the quarter amid divergent views about inflation, monetary policy, growth and earnings. In Japan, strong domestic demand and the de-risking and friend-shoring of supply chains seemingly contributed to the strength of Japanese stocks, and long positions in Japanese equity index futures were profitable, as was a long Taiwanese stock index futures trade. Trading of European equity index futures-German, French, British, Spanish and Italian-also posted gains. Short VIX and VSTOXX volatility index futures were also profitable. On the other hand, excitement about AI and tech, persistently strong consumer spending, and investor optimism about a soft or no landing U.S. growth scenario seemed to support U.S. stocks, and short positions in U.S. equity futures registered losses. Trading of China-related equity index futures was also slightly negative. A short Brazilian equity index trade was also unprofitable as equity futures rose amid the fiscal policy outlook and inflation expectations improving in Brazil.

Foreign exchange trading was mixed but quite profitable. A long position in the high yield Brazilian real versus the U.S. dollar and a short position in the low yield Japanese yen versus the U.S. dollar were particularly profitable. Long positions in high yield Polish, Mexican and Chilean currencies against the U.S. dollar were also profitable. Trading the U.S. dollar against the United Kingdom pound sterling and South African rand also registered gains. On the other hand, short U.S. dollar trades versus the European Union euro, Israeli shekel and New Zealand dollar and long U.S. dollar trades versus the Canadian dollar, Korean won, and Swedish krona posted partially offsetting losses.

Crude oil and crude product prices were impacted by conflicting forces during the quarter. Fears of sluggish global growth, particularly in China, and evidence that diesel and gasoline demand was being negatively impacted by increasing EV usage and government fuel economy standards contributed to down prices, while the U.S. outlook, continuing production cuts from Organization of the Petroleum Exporting Countries ("OPEC+") and news that the U.S. was commencing a rebuild of its strategic petroleum reserve seemed to support prices. Overall prices did decline during the quarter and long positions in Brent crude and WTI crude, and trading of RBOB gasoline, London gas oil and heating oil were unprofitable. Following the sharp declines in natural gas prices during the first quarter amid weak demand, larger-than-usual inventories and mild weather, prices and demand increased during the second quarter amid unexpectedly hot weather in Europe and the U.S., especially in June. Hence, short U.S. and European natural gas positions were slightly unprofitable for the quarter.

Finally, small gains from trading soft and livestock commodity futures were largely offset by small losses from trading metal and grain futures.

Three months ended March 31, 2023

The Partnership was unprofitable in the quarter predominantly due to losses from trading interest rate and energy futures. Elsewhere, trading of non-energy commodity futures was marginally unprofitable, trading of equity index futures was flat and trading of currency forwards was marginally profitable.

During January, February and into early March, markets were volatile as the negative impulses from tightening of monetary policies and sluggish manufacturing and housing sectors globally clashed with the positive impulses from better than expected employment, consumption and service sector growth globally. Then, during the last three weeks of the quarter, the banking crisis evidenced by the sudden collapses of Silicon Valley Bank and Signature Bank in the U.S., the Swiss government's brokered sale of Credit Suisse to UBS in Europe, and the challenges of other European and small and mid-sized U.S. banks rattled trading in financial and commodity markets.

Interest rates were volatile during the quarter. In January, global interest rates declined as many market participants came to believe that a further easing of price and wage inflation may lead to an easing of monetary policy in the second half of the year. During February and into early March, however, the global bond market rally stalled as signs of continued inflation, the "hot" U.S. labor market, better-than-expected economic data in the U.S. and Europe, and Congressional testimony by Federal Reserve ("Fed") Chairman Powell on March 7th and 8th led some investors to believe that global interest rates were primed to go still higher as central banks continued to address inflation. However, the next day global interest rates collapsed amid historic levels of interest rate volatility as risks of economic slowdown and/or recession rose in the wake of the

43

banking crisis. For example, the U.S. 2-year note, which was yielding near 5 1/8% on March 8th following the Fed Chairman's testimony, plunged to about 3.5% before recovering to around 4 1/8% at month-end. Overall, short positions in U.S., German, French, Italian, British, Canadian and Japanese interest futures were highly unprofitable.

For much of the quarter, energy prices as measured by WTI crude oil were influenced by conflicting forces and traded in a range between $73 and $82 per barrel. In general, global supply and demand fundamentals saw mixed results amid a number of global events: Russian supply did not fall as steeply as some expected; Iraq exports through Turkey were reduced significantly late in the quarter; Chinese demand did not pick up as quickly as many forecast; concerns about slowing growth in Europe and the U.S. likely impacted fundamentals; strikes at French refineries seemingly weakened crude consumption; the U.S. government did not replenish its Strategic Petroleum Reserve; and developed world commercial oil inventories rose. OPEC+ appeared unwilling to change policy until it better understood the mixed results. Then, in March as recession risks increased in the wake of the banking sector crisis, energy prices fell with WTI crude plunging from $80 per barrel on March 6 to $65 per barrel on March 20, before recovering to close the month near $70/barrel. On balance, long positions in Brent crude, WTI crude, London gas oil, heating oil and RBOB gasoline were unprofitable. On the other hand, short natural gas positions were quite profitable as prices declined amid warmer than typical weather in Europe and the U.S. and expanding inventories.

Equity markets, although also rattled by the mix of positive and negative factors discussed above, were steady during the quarter and results were mixed and flat. Long positions in European, Chinese, Taiwanese and Australian stock index futures were profitable. Short positions in Brazilian, Indian and U.S. Russell equity index futures, and trading of Singaporean futures were profitable. On the other hand, short U.S. NASDAQ, S&P and Mid-Cap 400 positions, and trading of Korean, Japanese and EAFE equity index futures posted offsetting losses.

A short silver position was profitable in February, possibly impacted by higher interest rates, a stronger U.S. dollar and sluggish manufacturing globally. In March, safe haven demand and a weaker U.S. dollar likely affected precious metal prices and a long gold trade was profitable. These gains slightly outpaced the loss from a short copper trade. Turning to grain futures, strong supply expectations from major producers of wheat, corn and soybeans seemingly weighed down grain prices. Losses on long corn and soybean trades outdistanced the profit from a short wheat position. Among soft commodities, small losses on short coffee, cotton and cocoa positions marginally outdistanced the profit from a long sugar trade.

Varying expectations about relative growth and monetary policy outlooks across countries likely caused fluctuations in the U.S. dollar during the quarter. Trading results were mixed, though marginally positive overall. Short U.S. dollar positions versus high yield currencies-Chile, Mexico and Poland-were profitable, particularly in March. Long U.S. dollar positions against the Japanese yen and Swiss franc posted gains in January and February. On the other hand, short U.S. dollar trades relative to the Korean won and Brazilian real in February were unprofitable, as was trading the U.S. dollar against the Australian, Canadian and New Zealand dollars, respectively, and trading the Norwegian krone versus the euro and U.S. dollar.

OFF-BALANCE SHEET ARRANGEMENTS

Neither the Partnership nor the Master Fund engages in off-balance sheet arrangements with other entities.

CONTRACTUAL OBLIGATIONS

Neither the Partnership nor the Master Fund enters into any contractual obligations or commercial commitments to make future payments of a type that would be typical for an operating company or that would affect its liquidity or capital resources. The Partnership's sole business, through its investment in the Master Fund, is trading futures, forward currency, spot and swap contracts, both long (contracts to buy) and short (contacts to sell). All such contracts are settled by offset, not delivery. Substantially all such contracts are for settlement within four months of the trade date and substantially all such contracts are held by the Master Fund for less than four months before being offset or rolled over into new contracts with similar maturities. The financial statements of the Master Fund present a condensed schedules of investments setting forth open futures, forward and other contracts at September 30, 2024 and December 31, 2023.

44

ITEM 3. QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK

Not required.

ITEM 4. CONTROLS AND PROCEDURES

The General Partner, with the participation of the principal executive officers and principal financial officer, has evaluated the effectiveness of the design and operation of its disclosure controls and procedures with respect to the Partnership as of the end of the period covered by this quarterly report, and, based on its evaluation, has concluded that these disclosure controls and procedures are effective. There were no changes in the General Partner's internal controls over financial reporting during the quarter ended September 30, 2024 that have materially affected, or are reasonably likely to materially affect, the General Partner's internal controls over financial reporting with respect to the Partnership.

PART II. OTHER INFORMATION

ITEM 1. Legal Proceedings

None.

ITEM 1A. Risk Factors

Not required.

ITEM 2. UNREGISTERED SALES OF EQUITY SECURITIES AND USE OF PROCEEDS

(a) Pursuant to the Partnership's Third Amended and Restated Limited Partnership Agreement (the "Partnership Agreement"), the Partnership may sell Units at the beginning of each calendar month. On July 1, 2024, August 1, 2024 and September 1, 2024, the Partnership sold Units to new and existing limited partners of $17,419, $202,372, and $2,378. There were no underwriting discounts or commissions in connection with the sales of the Units described above.

Each of the foregoing Interests were offered and sold only to "accredited investors" as defined in Rule 501(a) under the Securities Act of 1933 as amended (the "1933 Act"), in reliance on the exemption from registration provided by Rule 506(b) under the 1933 Act.

(b) Pursuant to the Partnership's Partnership Agreement, investors may redeem their Units at the end of each calendar month at the then current month-end net asset value. The redemption of Units has no impact on the value of Units that remain outstanding, and Units are not reissued once redeemed.

The following table summarizes the redemptions by Series A and Series B limited partners during the three months ended September 30, 2024. There were no Series C, Series D or Series E redemptions.

Series A

Series B

Date of

Units

NAV

Units

NAV

Withdrawal

Redeemed

per Unit

Redeemed

per Unit

July 31, 2024

(565.8814)

$ 1,313.01

-

$ 1,651.55

August 31, 2024

(307.9674)

1,262.71

(24.1540)

1,599.94

September 30, 2024

(298.6126)

1,241.39

-

1,575.54

Total

(1,172.4614)

(24.1540)

ITEM 3. DEFAULTS UPON SENIOR SECURITIES

Not Applicable.

ITEM 4. MINE SAFETY DISCLOSURES

Not Applicable.

45

ITEM 5. OTHER INFORMATION

During the nine months ended September 30, 2024, neither the General Partner nor its directors or officers adoptedor terminatedany Rule 10b5-1 tradingarrangement or non-Rule 10b5-1 tradingarrangement (as such terms are defined in Item 408 of Regulation S-K of the Securities Act of 1933, as amended).

ITEM 6. EXHIBITS

The following exhibits are included herewith:

31.01Rule 13(a)-14(a)/15(d)-14(a) Certification of Co-Chief Executive Officer
‎31.02Rule 13(a)-14(a)/15(d)-14(a) Certification of Co-Chief Executive Officer

31.03Rule 13(a)-14(a)/15(d)-14(a) Certification of President and Chief Operating Officer
‎31.04Rule 13(a)-14(a)/15(d)-14(a) Certification of Chief Financial Officer

32.01 Section 1350 Certification of Co-Chief Executive Officer

32.02Section 1350 Certification of Co-Chief Executive Officer

32.03Section 1350 Certification of President and Chief Operating Officer

32.04Section 1350 Certification of Chief Financial Officer

101.INS

XBRL Instance Document

101.SCH

XBRL Taxonomy Extension Schema Document

101.CAL

XBRL Taxonomy Extension Calculation Linkbase Document

101.DEF

XBRL Taxonomy Extension Definition Linkbase Document

101.LAB

XBRL Taxonomy Extension Label Linkbase Document

101.PRE

XBRL Taxonomy Extension Presentation Linkbase Document


‎

46

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

By:

Millburn Ridgefield Corporation,

General Partner

Date: November 13, 2024

/s/ Michael W. Carter

Michael W. Carter

Vice-President

(Principal Accounting Officer)

47